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xyrg+ · 2023年01月19日

如题

  1. FRM I
  2. Financial Markets And Products

NO.PZ2019052801000033

问题如下：

Consider the following 6×9 FRA, Assume the buyer of the FRA agrees to a contract rate of 6.35% on a notional amount of 10 million USD. Assume a 30/360 day count basis. What is the settlement amount of the seller if the settlement rate is 6.85%?

选项：

A.

-$12,290.

B.

$12,290.

C.

-$12,500.

D.

$12,500.

解释：

A is correct.

考点：Forward Rate Agreement

解析：

10m×(6.35%−6.85%)×3/121+6.85%×3/12=12,290\frac{10m\times(6.35\%-6.85\%)\times3/12}{1+6.85\%\times3/12}=12,290

这里要注意一个陷阱，因为题目最后问的是seller，所以应该是-12,290。

为什么最后问的是seller就加负号，这块总是弄错

李老师上课讲过但是还是没理解

或者我直接记成公式为 forward rate减FRA rate，得出来负就为short是可以的吗（感觉不对

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已采纳答案

pzqa27 · 2023年01月20日

嗨，努力学习的PZer你好：


是这样的，举个例子好了，比如我们签个远期合约标的是苹果，约定比如3元一个，那么如果市场上苹果价格涨到4元，那么相当于long forward的人赚1元，卖苹果的人亏一元，因为long方相当于用3元买了一个4元的东西。

那么同理FRA的标的是利率，long方这里和short方约定的利率是6.35%，意味着long方可以按6.35%的利率从short方那里借钱，但是市场上的利率是6.85%，此时long方相当于是低于市场利率来借钱，所以是赚钱的，赚的就是这个利差6.85%-6.35%，这个题问的是short方，long方赚的钱必定是short方亏的钱，所以用6.35%-6.85%即可，这个算出来必定是负的

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加油吧，让我们一起遇见更好的自己！

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