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Stacie · 2020年03月04日

问一道题：NO.PZ2016082402000057 [ FRM I ]

  1. FRM I
  2. Financial Markets And Products

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.

我觉得2x5应该是从2月份开始借三个月的钱啊？为什么是borrowing in 5 month啊？我前两个月的时候只签约没收到钱啊？
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orange品职答疑助手 · 2020年03月05日

同学你好，为了叙述方便假设FRA使用现金结算的（现实中大多数情况也是如此）

long position的FRA 2 x 5，假设forward rate是6.2%，2月后的现期利率是6.4%

那么在FRA到期即t=2时，由于市场利率上升，long方将收获本金*（6.4%-6.2%）/4 / （1+6.4%/4）的金额，这个是现金结算。

这就可以看成是，long方以6.2%的利率接入了五个月的资金，然后投资回报就取决于t=2时的市场利率（后面3个月的利率已经固定了）。如果那时的即期利率是6.4%，那他就赚了这么多。

这就当相于借了5个月的钱，然后投资的是前两个月

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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: Borrowing in two months to finana five-month investment Borrowing in five months to finana two-month investment Borrowing half a loamount two months anthe remainr five months Borrowing in two months to finana three-month investment ANSWER: BFRA finet1×t2t_1\times t_2t1​×t2​ involves a forwarrate starting time t1t_1t1​ anenng time t2t_2t2​ The buyer of this FRA locks in a borrowing rate for months 3 to 5. This is equivalent to borrowing for five months anreinvesting the fun for the first two months. 画红线那句话根本没看懂，为什么borrow是5个月 ，loan实际只有3个月啊，还有投资是什么意思，前面的2个月是投资？？？

2023-12-13 11:22 2 · 回答

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: Borrowing in two months to finana five-month investment Borrowing in five months to finana two-month investment Borrowing half a loamount two months anthe remainr five months Borrowing in two months to finana three-month investment ANSWER: BFRA finet1×t2t_1\times t_2t1​×t2​ involves a forwarrate starting time t1t_1t1​ anenng time t2t_2t2​ The buyer of this FRA locks in a borrowing rate for months 3 to 5. This is equivalent to borrowing for five months anreinvesting the fun for the first two months.改成借了5个月前，只投资后三个月的意思对吗？

2022-08-02 07:57 2 · 回答

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2022-03-01 07:23 1 · 回答

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2022-02-25 17:11 1 · 回答

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