头寸

NO.PZ2019010402000015

问题如下：

The company enters into a $100,000,000 notional amount 2 × 5 receive-fixed FRA that is advanced set, advanced settled. The appropriate discount rate for the FRA settlement cash flows is 1.5%. After 60 days, 90-day Libor is 0.80%, 60-day Libor is 0.7%.

If the FRA was initially priced at 1.20%, the payment received to settle the 2 × 5 FRA will be:

选项：

100,000

99,626

99,800

解释：

B is correct.

考点：FRA settlement

解析：

$payment\text{ }received=\frac{(1.2\%-0.8\%)\times\frac3{12}\times100,000,000}{1+1.50\%\times\frac3{12}}=99,626.4$

注：题目中特别说明了折现率是1.5%，所以直接用1.5%折现，不用90天的LIBOR折现。

请问这题的头寸怎么看？根据FRA settlement的公式不是应该当前的利率减FRA么？答案里面用FRA-当前利率

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已采纳答案

李坏_品职助教 · 2023年10月08日

嗨，从没放弃的小努力你好：

题目开头说了“receive-fixed FRA”，意思是作为收取固定利息的一方参与了这个FRA合约。

所以应该是用 initially priced at 1.20%这个初始确定下来的FRA利率，减去90天的浮动利率Libor0.8%。

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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！

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NO.PZ2019010402000015问题如下The company enters into a $100,000,000 notionamount 2 × 5 receive-fixeFRA this aanceset, aancesettle The appropriate scount rate for the FRA settlement cash flows is 1.5%. After 60 ys, 90-y Libor is 0.80%, 60-y Libor is 0.7%.If the FRA winitially price1.20%, the payment receiveto settle the 2 × 5 FRA will be:A.100,000B.99,626C.99,800B is correct.考点FRA settlement解析payment receive(1.2%−0.8%)×312×100,000,0001+1.50%×312=99,626.4payment\text{ }receive\frac{(1.2\%-0.8\%)\times\frac3{12}\times100,000,000}{1+1.50\%\times\frac3{12}}=99,626.4payment receive1+1.50%×123(1.2%−0.8%)×123×100,000,000=99,626.4注题目中特别说明了折现率是1.5%，所以直接用1.5%折现，不用90天的LIBOR折现。没有其他补充了，谢谢

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2023-10-21 16:25 1 · 回答

NO.PZ2019010402000015 问题如下 The company enters into a $100,000,000 notionamount 2 × 5 receive-fixeFRA this aanceset, aancesettle The appropriate scount rate for the FRA settlement cash flows is 1.5%. After 60 ys, 90-y Libor is 0.80%, 60-y Libor is 0.7%.If the FRA winitially price1.20%, the payment receiveto settle the 2 × 5 FRA will be: A.100,000 B.99,626 C.99,800 B is correct.考点FRA settlement解析payment receive(1.2%−0.8%)×312×100,000,0001+1.50%×312=99,626.4payment\text{ }receive\frac{(1.2\%-0.8\%)\times\frac3{12}\times100,000,000}{1+1.50\%\times\frac3{12}}=99,626.4payment receive1+1.50%×123(1.2%−0.8%)×123×100,000,000=99,626.4注题目中特别说明了折现率是1.5%，所以直接用1.5%折现，不用90天的LIBOR折现。因为比较熟悉小t时刻求value时用重新定价法的，但是不太熟悉，settlement的折现，所以想confirm一下，Payment receive是折到贷款合约开始的时刻（即本题t=2时间点）？所以分母折现应该用90/360对吗？

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NO.PZ2019010402000015问题如下 The company enters into a $100,000,000 notionamount 2 × 5 receive-fixeFRA this aanceset, aancesettle The appropriate scount rate for the FRA settlement cash flows is 1.5%. After 60 ys, 90-y Libor is 0.80%, 60-y Libor is 0.7%.If the FRA winitially price1.20%, the payment receiveto settle the 2 × 5 FRA will be:A.100,000B.99,626C.99,800B is correct.考点FRA settlement解析payment receive(1.2%−0.8%)×312×100,000,0001+1.50%×312=99,626.4payment\text{ }receive\frac{(1.2\%-0.8\%)\times\frac3{12}\times100,000,000}{1+1.50\%\times\frac3{12}}=99,626.4payment receive1+1.50%×123(1.2%−0.8%)×123×100,000,000=99,626.4注题目中特别说明了折现率是1.5%，所以直接用1.5%折现，不用90天的LIBOR折现。这一题为什么是用1.2%减去0.8%?

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