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张文文 · 2023年08月23日

老师请问t时刻的FRA=0.0316%是怎么算出来的呢？

  1. CFA II
  2. Derivative

NO.PZ2023020101000008

问题如下：

One month ago (30 days), Cline entered a pay floating 3 × 6 forward rate agreement (FRA) at a rate of 2.31% with a notional amount of US$5,000,000. At the time, the three-month MRR was 1.28% and the six-month MRR was 1.8%. Now, 30 days after entering the FRA, two-month MRR is 1.5% and the five-month MRR is 2.5%.

The current value of Cline’s FRA is closest to:

选项：

A.

-US$10,625.

B.

-US$10,515.

C.

US$10,612.

解释：

FRA(0,h,m) = FRA(0, 90, 90) = 0.0231

FRA (g,h−g,m) = 0.0316

V(0,90,90)=5,000,000∗(0.0316−0.0231)∗903601+0.025∗150360=US$10,515.46V_{(0,90,90)}=5,000,000\ast\frac{(0.0316-0.0231)\ast\frac{90}{360}}{1+0.025\ast\frac{150}{360}}=US\$10,515.46

Because this a pay floating FRA, V(0.90,90) = -US$10,515.

老师请问t时刻的FRA=0.0316%是怎么算出来的呢？

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1 个答案

Lucky_品职助教 · 2023年08月30日

嗨，从没放弃的小努力你好：


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就算太阳没有迎着我们而来，我们正在朝着它而去，加油！

Amy pro · 2023年10月08日

可以画图解释一下0.0316吗？以及这几个MRR分别是哪一段时间的？

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NO.PZ2023020101000008 问题如下 One month ago (30 ys), Cline entereapfloating 3 × 6 forwarrate agreement (FRa rate of 2.31% with a notionalamount of US$5,000,000. the time, the three-month MRR w1.28% anthesix-month MRR w1.8%. Now, 30 ys after entering the FRtwo-month MRR is1.5% anthe five-month MRR is 2.5%.The current value of Cline’s FRA is closestto: A.-US$10,625. B.-US$10,515. C.US$10,612. FRA(0,h,m)= FRA(0, 90, 90) = 0.0231FRA (g,h−g,m) = 0.0316V(0,90,90)=5,000,000∗(0.0316−0.0231)∗903601+0.025∗150360=US$10,515.46V_{(0,90,90)}=5,000,000\ast\frac{(0.0316-0.0231)\ast\frac{90}{360}}{1+0.025\ast\frac{150}{360}}=US\$10,515.46V(0,90,90)​=5,000,000∗1+0.025∗360150​(0.0316−0.0231)∗36090​​=US$10,515.46 Becausethis a pfloating FRV(0.90,90) = -US$10,515. 1，能用画图法，画图+公式结合来吗？2，能用一下书上的方法来画图加吗？

2024-07-01 18:25 2 · 回答

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