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小小悟空yu · 2019年09月14日

问一道题:NO.PZ2019052801000033 [ FRM I ]

问题如下图:

选项:

A.

B.

C.

D.

解释:请问我这么做是哪里错了。1另外buy fra,结算时利率上涨难道不是赚钱嘛?2为什么不是6.85-6.35。3fra的long 和short 与利率涨跌的关系是什么呢?4最后的折现为什么用6.85,为什么是3个月的时间折现啊

小小悟空yu · 2019年09月14日

我的做法是(6.85-6.35)*3/12*10000000

1 个答案

orange品职答疑助手 · 2019年09月14日

同学你好,对于buyer而言,当利率上涨时,作为名义借款人、利息支付者,他是赚钱的。因此,解析中的公式应该是打错了,应该是6.85%-6.35%,以为对于buyer而言应该是赚钱。既然buyer赚钱了,那么selller当然就是亏钱了。因为seller本可以按6.85%的实际利率收利息的,但因为FRA的存在,它只能以6.35%的利率去收利息了,因此亏钱。

折现当然要用6.85%,是按实际利率折现。借款借了3个月,那就应该用3个月折现呀。建议同学重新听一下这部分课程,要彻底理解的。

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