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梦梦 · 2024年06月11日

究竟哪里想错了呢

NO.PZ2019052801000033

问题如下:

Consider the following 6×9 FRA, Assume the buyer of the FRA agrees to a contract rate of 6.35% on a notional amount of 10 million USD. Assume a 30/360 day count basis. What is the settlement amount of the seller if the settlement rate is 6.85%?

选项:

A.

-$12,290.

B.

$12,290.

C.

-$12,500.

D.

$12,500.

解释:

A is correct.

考点:Forward Rate Agreement

解析:

10m×(6.35%6.85%)×3/121+6.85%×3/12=12,290\frac{10m\times(6.35\%-6.85\%)\times3/12}{1+6.85\%\times3/12}=12,290

这里要注意一个陷阱,因为题目最后问的是seller,所以应该是-12,290。

老师好,buyer就是lender,交割日收到一个利率,seller就是borrower,交割日支付一个利率。合约约定的是6.35%,然后又有一个settlement rate 6.85%我就有点儿晕了,6.85%是交割利率,那哪个是市场利率?

我以为6.35是约定利率,6.85是市场利率,那么对于seller来说,借款执行6.35%,市场是-6.85%,所以我用(-6.35+6.85),seller赚0.5%。

2 个答案

pzqa39 · 2024年06月13日

嗨,从没放弃的小努力你好:


1、在FRA里,long FRA,是以固定的利率找对手方借钱;short FRA,是以固定的利率把钱借给对手方。

seller是short方,在这道题里面,要以6.35%这个约定好的利率把钱借给别人,也就是lender

2、QFP*CF+AI

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努力的时光都是限量版,加油!

梦梦 · 2024年06月13日

明白了,谢谢

pzqa39 · 2024年06月12日

嗨,从没放弃的小努力你好:


seller才是lender,是收取合约约定的利率6.35%的人,buyer是borrower,是支付合约约定利率6.35%的人。所以seller亏了,市场利率是6.85%,但是约定的只有6.35%。

“我以为6.35是约定利率,6.85是市场利率”这里没有想错。 settlement rate可以理解成结算时候的市场利率。

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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!

梦梦 · 2024年06月12日

1、为什呢seller是lender?难道是以谁收到现金来界定lender和borrow? 2、债券期货在签署合约时,约定的交割价格到底是什么价格?是QFP?还是QFP*CF?还是QFP*CF+AI?

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