题目中没说是3个月付一次啊

问题如下：

Based on Exhibit 7, the fixed rate on a new 2 x 5 FRA is closest to:

选项：

0.61%.

1.02%.

1.71%.

解释：

B is correct. The fixed rate on the 2 x 5 FRA is calculated as

FRA₀ = {[1 + L_T t_T ]/[1 + L_h t_h ] - 1}/t_m

For a 2 x 5 FRA, the two rates needed to compute the no-arbitrage FRA fixed rate are L(60) = 0.82% and L(150) = 0.94%. Therefore, the no-arbitrage fixed rate on the 2 x 5 FRA rate is calculated as

FRA(0,60,90) = {[1 + 0.0094(150/360)]/[1 + 0.0082(60/360)] - 1}/(90/360)

FRA(0,60,90) = [(1.003917/1.001367) - 1]4 = 0.010186, or 1.02% rounded

中文解析：

本题考察的是对FRA进行定价，使用画图法基于t=0时刻的value=0来求。

向上箭头折现至0时刻为：$\frac{NP}{1+0.82\%\times{\displaystyle\frac{60}{360}}}$

向下箭头折现至0时刻为：$\frac{NP\times\left[1+FRA\times{\displaystyle\frac{90}{360}}\right]}{1+0.94\%\times{\displaystyle\frac{150}{360}}}$

令向上箭头=向下箭头，即可求得唯一的未知量FRA。