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:
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
参考了下其他同学提的问题,看到有老师回答说本题不适用重新定价法,原因是什么?
(基础班讲义P40的例题,老李老师也是用的重新定价法讲的)