fixed rate player 付固定还是收固定啊，这道题浮动利息很多，用哪个

问题如下：

An analyst at Bank FLR is calculating the cash flows on a forward rate agreement (FRA) that the bank entered into 1 year ago. The bank is a fixed rate payer under the FRA and the terms of the FRA state that interest accrues for the 3-month period beginning 1 year after initiation. The analyst collects the following information about the FRA and interest rates in the market:

· Principal amount: EUR 10,000,000

· Fixed interest rate: 2.25%

· Floating interest rate 9 months after initiation of the FRA: 2.05%

· Floating interest rate today: 1.80%

· Market forecast of floating interest rate 3 months from now: 1.90%

What is the amount of the cash flow required today to settle the FRA?

选项：

A.

EUR 4,975

B.

EUR 5,000

C.

EUR 11,200

D.

EUR 11,250

解释：

C is correct. By convention, an FRA is usually settled at the beginning of the period covered by the FRA. The settlement amount is the present value of the difference in interest amounts with the discount rate being the floating rate. Therefore, the cash flow under the FRA must be discounted back to the beginning of the quarter.

The fixed rate payer’s cash flow per quarter is

0.25 * 0.0225 * EUR10,000,000 = EUR 56,250

The floating rate payer’s cash flow at the one year date is

0.25 * 0.018 * EUR10,000,000 = EUR45,000.

The net cash flow is a payment by the fixed rate payer of 11,250, but this is undiscounted.

The payment must be discounted at the floating rate, EUR 11,250 / (1 +0.018/4) = EUR 11,200

A is incorrect. The payment is calculated using the floating rate at 9 months. Floating rate payment = 0.25 * 0.0205 * EUR10,000,000 = EUR51,250 Net payment is 5,000

EUR 5,000 /(1 + 0.0205/4) = EUR 4,975

B is incorrect. This is the undiscounted cash flow from the incorrectly used 9-month floating interest rate.

D is incorrect. This is the undiscounted cash flow.