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𝒜𝒩𝒥𝒜 安雅🎃 · 2023年02月02日

怎么确认valuation date？

  1. CFA II
  2. Derivative

NO.PZ2019010402000013

问题如下：

A bank entered into a 3×6 FRA 30 days ago as a fixed receiver. The fixed rate is 1.25%, and notional principle is $100 million. The settlement terms are advanced set, advanced settle. The current Libor data is as follows:


The value of this 3×6 FRA is:

选项：

A.

11,873

B.

-11,873

C.

-12,579

解释：

B is correct.

考点：FRA的估值

解析：

画图：

valuelong=1000000001+1.05%×60360−100000000×(1+1.25%×90360)1+1.2%×150360=11873value_{long}=\frac{100000000}{1+1.05\%\times\frac{60}{360}}-\frac{100000000\times(1+1.25\%\times\frac{90}{360})}{1+1.2\%\times\frac{150}{360}}=11873

题中的银行是fixed receiver，即FRA的short方。上图是以Long方，即Borrower(floating receiver）为例，所以fixed receiver (short)的value=-long=-11873

老师好，这题我做对了，但我有3点想请您帮忙：


  • 请您帮我看看我的画图大法是否正确。



  • 如果要求value，就要知道valuation date，但该怎么知道valuation date是哪天？在做这题时，我是根据语境判断valuation date是now，也就是第30天时间点，所以上下箭头都折现到第30天时间点。可是，下方基础班讲义这道例题题干中，我看不出来题目是要我们求哪个时间点的value，李老师是怎么知道题目是在问3时间点的value？



另外，我做了几道FRA题目，发现来来去去几乎是计算以下这些东西，我有遗漏吗？

  1. Pricing方面：no-arbitrage fixed rate
  2. Valuation方面: fixed rate of FRA
  3. Valuation方面: value of FRA
  4. Settlement方面：payement received to settle


谢谢老师帮忙！

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Lucky_品职助教 · 2023年02月06日

嗨，从没放弃的小努力你好：


1、画图正确；

2、题干中第三行有一句话fater 90 days have passed，因此当下是3时点（按照月份算）；

3、总结的很全面，一般就是考察0时刻定价，t时刻value，T时刻settlemnt

----------------------------------------------
努力的时光都是限量版，加油！

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