问题如下图:
选项:
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B.
C.
解释:
2个月的时间点settle,为什么分母还需要折现,不应该往t0时刻折现?折60/360,为什么是折90/360?
NO.PZ2019010402000015问题如下The company enters into a $100,000,000 notionamount 2 × 5 receive-fixeFRA this aanceset, aancesettle The appropriate scount rate for the FRA settlement cash flows is 1.5%. After 60 ys, 90-y Libor is 0.80%, 60-y Libor is 0.7%.If the FRA winitially price1.20%, the payment receiveto settle the 2 × 5 FRA will be:A.100,000B.99,626C.99,800B is correct.考点FRA settlement解析payment receive(1.2%−0.8%)×312×100,000,0001+1.50%×312=99,626.4payment\text{ }receive\frac{(1.2\%-0.8\%)\times\frac3{12}\times100,000,000}{1+1.50\%\times\frac3{12}}=99,626.4payment receive1+1.50%×123(1.2%−0.8%)×123×100,000,000=99,626.4注题目中特别说明了折现率是1.5%,所以直接用1.5%折现,不用90天的LIBOR折现。没有其他补充了,谢谢
NO.PZ2019010402000015问题如下The company enters into a $100,000,000 notionamount 2 × 5 receive-fixeFRA this aanceset, aancesettle The appropriate scount rate for the FRA settlement cash flows is 1.5%. After 60 ys, 90-y Libor is 0.80%, 60-y Libor is 0.7%.If the FRA winitially price1.20%, the payment receiveto settle the 2 × 5 FRA will be:A.100,000B.99,626C.99,800B is correct.考点FRA settlement解析payment receive(1.2%−0.8%)×312×100,000,0001+1.50%×312=99,626.4payment\text{ }receive\frac{(1.2\%-0.8\%)\times\frac3{12}\times100,000,000}{1+1.50\%\times\frac3{12}}=99,626.4payment receive1+1.50%×123(1.2%−0.8%)×123×100,000,000=99,626.4注题目中特别说明了折现率是1.5%,所以直接用1.5%折现,不用90天的LIBOR折现。这题的数给的有问题吧,公式应该是NA×[Lm-FRA0]×tm/(1+×tm),怎么会用1.2%-0.8%,应该用0.8%-1.2%
NO.PZ2019010402000015问题如下The company enters into a $100,000,000 notionamount 2 × 5 receive-fixeFRA this aanceset, aancesettle The appropriate scount rate for the FRA settlement cash flows is 1.5%. After 60 ys, 90-y Libor is 0.80%, 60-y Libor is 0.7%.If the FRA winitially price1.20%, the payment receiveto settle the 2 × 5 FRA will be:A.100,000B.99,626C.99,800B is correct.考点FRA settlement解析payment receive(1.2%−0.8%)×312×100,000,0001+1.50%×312=99,626.4payment\text{ }receive\frac{(1.2\%-0.8\%)\times\frac3{12}\times100,000,000}{1+1.50\%\times\frac3{12}}=99,626.4payment receive1+1.50%×123(1.2%−0.8%)×123×100,000,000=99,626.4注题目中特别说明了折现率是1.5%,所以直接用1.5%折现,不用90天的LIBOR折现。请问这题的头寸怎么看?根据FRA settlement的公式 不是应该当前的利率减FRA么?答案里面用FRA-当前利率
NO.PZ2019010402000015 问题如下 The company enters into a $100,000,000 notionamount 2 × 5 receive-fixeFRA this aanceset, aancesettle The appropriate scount rate for the FRA settlement cash flows is 1.5%. After 60 ys, 90-y Libor is 0.80%, 60-y Libor is 0.7%.If the FRA winitially price1.20%, the payment receiveto settle the 2 × 5 FRA will be: A.100,000 B.99,626 C.99,800 B is correct.考点FRA settlement解析payment receive(1.2%−0.8%)×312×100,000,0001+1.50%×312=99,626.4payment\text{ }receive\frac{(1.2\%-0.8\%)\times\frac3{12}\times100,000,000}{1+1.50\%\times\frac3{12}}=99,626.4payment receive1+1.50%×123(1.2%−0.8%)×123×100,000,000=99,626.4注题目中特别说明了折现率是1.5%,所以直接用1.5%折现,不用90天的LIBOR折现。 因为比较熟悉小t时刻求value时用重新定价法的,但是不太熟悉,settlement的折现,所以想confirm一下,Payment receive是折到贷款合约开始的时刻(即本题t=2时间点)?所以分母折现应该用90/360对吗?
NO.PZ2019010402000015问题如下 The company enters into a $100,000,000 notionamount 2 × 5 receive-fixeFRA this aanceset, aancesettle The appropriate scount rate for the FRA settlement cash flows is 1.5%. After 60 ys, 90-y Libor is 0.80%, 60-y Libor is 0.7%.If the FRA winitially price1.20%, the payment receiveto settle the 2 × 5 FRA will be:A.100,000B.99,626C.99,800B is correct.考点FRA settlement解析payment receive(1.2%−0.8%)×312×100,000,0001+1.50%×312=99,626.4payment\text{ }receive\frac{(1.2\%-0.8\%)\times\frac3{12}\times100,000,000}{1+1.50\%\times\frac3{12}}=99,626.4payment receive1+1.50%×123(1.2%−0.8%)×123×100,000,000=99,626.4注题目中特别说明了折现率是1.5%,所以直接用1.5%折现,不用90天的LIBOR折现。这一题为什么是用1.2%减去0.8%?