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lcrcp3 · 2023年10月07日

如题

NO.PZ2023041003000014

问题如下:

Solomon forecasts the three-month Libor will exceed 0.85% in six months and is considering using options to reduce the risk of rising rates. He asks Lee to value an interest rate call with a strike price of 0.85%. The current three-month Libor is 0.60%, and an FRA for a three-month Libor loan beginning in six months is currently 0.75%.

The valuation inputs used by Lee to price a call reflecting Solomon’s interest rate views should include an underlying FRA rate of:

选项:

A.

0.60% with six months to expiration.

B.

0.75% with nine months to expiration.

C.

0.75% with six months to expiration.

解释:

Solomon’s forecast is for the three-month Libor to exceed 0.85% in six months. The correct option valuation inputs use the six-month FRA rate as the underlying, which currently has a rate of 0.75%.

这题什么意思?完全没看懂,用的什么知识点?

1 个答案
已采纳答案

pzqa35 · 2023年10月07日

嗨,努力学习的PZer你好:


此题是说S这个人,担心在六个月之后的3个月利率会上涨,所以他想用call option来hedge未来的利率上涨。在做这个题的时候,我们应该了解FRA的概念。FRA类似于一个forward合约后面跟了一个贷款合同,那么S这个人其实需要的是一个6*9的FRA,6是指FRA这个合约的到期日,即FRA是在6个月之后就到期,而6-9这三个月就是贷款的期限,如下如所示:

所以S的option标的资产应该就是一个6*9的FRA,题目中已经告诉我们这个FRA现在的利率是0.75%同时FRA的到期日应该是6个月。

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虽然现在很辛苦,但努力过的感觉真的很好,加油!

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