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RyanR · 2023年02月28日

如何分清是long还是short

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。

课程里面听了这个题就有疑问。李老师在课程里面画了seller说这里可以看出来是short,但是在题干里,前面也出现了是buyer of FRA,考试遇到类似的情况我应该怎么理解分析呢?

1 个答案

DD仔_品职助教 · 2023年03月01日

嗨,努力学习的PZer你好:


同学你好,

这里主要是看问题那一句话,这题题干虽然说的是buyer,但是问题里写的是seller,seller就是short方,在计算出数据之后直接加负号就可以啦,体感就是用来迷惑你的。


----------------------------------------------
虽然现在很辛苦,但努力过的感觉真的很好,加油!

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