不用年化吗

问题如下：

Based on Exhibit 7, the no-arbitrage fixed rate on a new 1 x 4 FRA is closest to:

选项：

A.

0.65%.

B.

0.73%.

C.

0.98%.

解释：

C is correct.

The no-arbitrage fixed rate on the 1 x 4 FRA is calculated as

FRA₀ = {[1 + L_T t_T ]/[1 + L_h t_h ] - 1}/t_m

For a 1 x 4 FRA, the two rates needed to compute the no-arbitrage FRA fixed rate are L(30) = 0.75% and L(120) = 0.92%. Therefore, the no-arbitrage fixed rate on the 1 x 4 FRA rate is calculated as

FRA(0,30,90) = {[1 + 0.0092(120/360)]/[1 + 0.0075(30/360)] - 1}/(90/360).

FRA(0,30,90) = [(1.003066/1.000625) - 1]×4 = 0.009761, or 0.98% rounded

中文解析：

本题考察的是对FRA进行定价，使用画图法基于t=0时刻的value=0来求。

向上箭头折现至0时刻为：$\frac{NP}{1+0.75\%\times{\displaystyle\frac{30}{360}}}$

向下箭头折现至0时刻为：$\frac{NP\times\left[1+FRA\times{\displaystyle\frac{90}{360}}\right]}{1+0.92\%\times{\displaystyle\frac{120}{360}}}$

另向上箭头=向下箭头，即可求得唯一的未知量FRA。