NO.PZ2016082402000059
问题如下:
Consider the buyer of a FRA. The contract rate is 6.35% on a notional amount of $10 million. Calculate the settlement amount of the seller if the settlement rate is 6.85%. Assume a 30/360-day count basis.
选项:
A.-12,500
B.-12,290
C.+12,500
D.+12,290
解释:
ANSWER: B
The seller of an FRA agrees to receive fixed. Since rates are now higher than the contract rate, this contract must show a loss for the seller. The loss is $10,000,000 x (6.85%-6.35%) × (90/360) = $12,500 when paid in arrears (i.e., in nine months). On the settlement date (i.e., brought forward by three months), the loss is $12,500/(1+6.85% × 0.25) = $12,290.
老师你好,已确认我的计算器的计算顺序是科学计算器。
在计算%的时候有问题,计算6.85%-6.35%我的输入顺序是:
【6.85】【%】
【-】
【6.35】【%】
但是计算的结果不是0.5%。我发现计算器是算的(【6.85】【%】【-】【6.35】)在整体%,这是为啥呢,好奇怪啊