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🍑🍑🍑🍑🍑🍑🍑 · 2019年10月30日

问一道题:NO.PZ2016082402000057

问题如下:

A long position in a 2 x 5 FRA is equivalent to the following positions in the spot market:

选项:

A.

Borrowing in two months to finance a five-month investment

B.

Borrowing in five months to finance a two-month investment

C.

Borrowing half a loan amount at two months and the remainder at five months

D.

Borrowing in two months to finance a three-month investment

解释:

ANSWER: B

An FRA defined as t1×t2t_1\times t_2 involves a forward rate starting at time t1t_1 and ending at time t2t_2 The buyer of this FRA locks in a borrowing rate for months 3 to 5. This is equivalent to borrowing for five months and reinvesting the funds for the first two months.

看了之前的回答,还是有点没明白。

“可以想象成借了5个月钱,但是前2个月借的这笔钱用来放贷了”

所以是相当于以6.2%的FRA合同约定利率借了5个月,但在前两个月,即0-2期间以市场利率放贷给别人了吗?


1 个答案

orange品职答疑助手 · 2019年10月30日

因为它的盈利情况,只取决于第2个月末时的利率,如果高于6.2%,那就相当于赚了,投资赚钱与否的不确定性来源于第2月末时的情况,所以它相当于投资了前2个月

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