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小唐超学霸 · 2024年11月08日

B选项

  1. CFA II
  2. Derivative

NO.PZ2023020101000009

问题如下：

Sheroda asks Parisi to help her with fixed-income derivatives. First, she wants to better understand forward rate agreements (FRAs). Parisi points out the following attributes of an FRA:

Parisi is most likely correct regarding which attribute of an FRA?

选项：

A.

Attribute 3

B.

Attribute 2

C.

Attribute 1

解释：

Parisi is correct with regard to Attribute 2. Being long the FRA means that you gain when MRR rises. The fixed receiver counterparty receives an interest payment based on a fixed rate and makes an interest payment based on a floating rate. The floating receiver counterparty receives an interest payment based on a floating rate and makes an interest payment based on a fixed rate.

老师你好，FRA不是不涉及双方的资金交换的吗？

upon expiry, 参照FRA0价格 和MRR 由负方支付差额就行了吧？为啥这里还要互相给呢？

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1 个答案

李坏_品职助教 · 2024年11月08日

嗨，从没放弃的小努力你好：


FRA不需要进行本金的交换，在合约到期日直接按照盈亏情况进行净额结算即可。


Attribute 2的意思是，FRA的多头会在市场利率上升时赚钱。而对于收取固定利率的一方来说（这个指的是FRA的空头），是按照期初约定的固定利率计算收入，按照浮动利率（MRR）计算支出，最后算一下收入-支出的净额，以净额进行结算。

如果是收入大于支出，那么收取固定利率的一方会收到这个净额，反之则需要给对方支付净额。

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