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Anna · 2024年10月24日

什么时候需要在FRA上乘以90/360

  1. CFA II
  2. Derivative

NO.PZ2023041003000018

问题如下：

After discussing Kemper’s new investment ideas, Doyle and Kemper evaluate one of their existing forward contract positions. Three months ago, BestFutures took a long position in eight 10-year Japanese government bond (JGB) forward contracts, with each contract having a contract notional value of 100 million yen. The contracts had a price of JPY153 (quoted as a percentage of par) when the contracts were purchased.

Now, the contracts have six months left to expiration and have a price of JPY155. The annualized six-month interest rate is 0.12%. Doyle asks Kemper to value the JGB forward position.

The value of the JGB long forward position is closest to：

选项：

A.

JPY15,980,823.

B.

JPY15,990,409.

C.

JPY16,000,000.

解释：

The value of the JGB forward position is calculated as：


Therefore, the value of the long forward position is 1.9988 per JPY100 par value. For the long position in eight contracts with each contract having a par value of 100 million yen, the value of the position is calculated as

0.019988 × (JPY100,000,000) × 8 = JPY15,990,409

为什么这里直接用155-153，而没有按FRA期限除以90/360？

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1 个答案

李坏_品职助教 · 2024年10月24日

嗨，爱思考的PZer你好：


本题不是FRA。本题是外汇远期合约，而FRA指的是利率远期合约。


只有FRA才会用90/360这种单利计算方法，而外汇远期合约用的是复利计算方法，也就是在分母体现出6个月的期限（除以(1+0.0012)^(6/12)）。

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

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