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Sibyl · 2023年10月04日

为什么是负数？

  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.

老师我又忘了为什么是负数了

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pzqa35 · 2023年10月04日

嗨，从没放弃的小努力你好：


我们先来看一下这道题的表述，Cline entered a pay floating 3 × 6 forward rate agreement，就相当于是receive fixed，这表明Celie这个人其实是short FRA，而我们对于value的计算是站在long方的，所以对于short方而言需要加上一个负号哈。这道题主要是头寸的判断。

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