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shashankar · 2023年12月13日

题库题目

  1. FRM I
  2. Financial Markets And Products

NO.PZ2016082402000059

问题如下：

Consider the buyer of a 6×96\times9 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.

No.PZ2016082402000059 (选择题)

来源: Handbook

Consider the buyer of a 6×9

6×9 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.


问题：settlement rate是指什么，因为一般算value，都是拿FRA rate 去和对应期间（6-9）市场利率进行对比，再折现到6时间点求value，这个题目只是给出了settlement rate，它是指对应期间的int，还是指9时间点的rate，为什么叫settlement rate？

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2 个答案

DD仔_品职助教 · 2023年12月19日

嗨，从没放弃的小努力你好：


FRA 2*5 代表的是2时刻开始借，5时刻结束，所以settledate=5

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

DD仔_品职助教 · 2023年12月14日

嗨，努力学习的PZer你好：


同学你好，

现在合约的利率是以6.35%借款，那settlement rate就是合约到期该结算的时候的市场利率（本题中的6.85%），因为是结算时用的利率，所以叫做settlement rate

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

shashankar · 2023年12月14日

FRA这个合约的结算日到底是哪个？比如FRA2*5，settlement day是t=2吗？那为什么计算value的时候，说t=5才收到收益，要折现到t=2，如果t=2就是结算日，在结算日没有收到收益吗？为什么要在t=5时刻把收益折现到t=2？

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