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:
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?