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Maxy · 2023年10月16日

请问这道题可以用画图法详细写一下吗？

  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.

谢谢！

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已采纳答案

pzqa35 · 2023年10月16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！

king · 2024年04月03日

这个图里的算法是不是不对？我看答案呢文字解析里有提到用当前时刻f(2,5)=3.16%的。

pzqa35 · 2024年04月07日

嗨，从没放弃的小努力你好：


同学说的3.16%是按照重估价值法去求的，上图的解析是按照画图法去求的哈，答案的解析就是用重估价值法来求的，这两种方法的计算答案是一样的哈。

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努力的时光都是限量版，加油！

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