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Shawnxz · 2020年03月30日

问一道题:NO.PZ2019010402000013

问题如下:

A bank entered into a 3×6 FRA 30 days ago as a fixed receiver. The fixed rate is 1.25%, and notional principle is $100 million. The settlement terms are advanced set, advanced settle. The current Libor data is as follows:

The value of this 3×6 FRA is:

选项:

A.

11,873

B.

-11,873

C.

-12,579

解释:

B is correct.

考点:FRA的估值

解析:

画图:

valuelong=1000000001+1.05%×60360100000000×(1+1.25%×90360)1+1.2%×150360=11873value_{long}=\frac{100000000}{1+1.05\%\times\frac{60}{360}}-\frac{100000000\times(1+1.25\%\times\frac{90}{360})}{1+1.2\%\times\frac{150}{360}}=11873

题中的银行是fixed receiver,即FRA的short方。上图是以Long方,即Borrower(floating receiver)为例,所以fixed receiver (short)的value=-long=-11873

我也没理解,题目中所说签订合约的时间是30天前,3x6合约,如果3月是load开始的时间,那30days前应该是时间点2吧?

1 个答案
已采纳答案

xiaowan_品职助教 · 2020年03月30日

嗨,爱思考的PZer你好:


同学你好,签订合约的时间是0时点,那么1个月前是0时点,现在就是1时点。

对于3x6的FRA来说,意思是在0时刻签订一个合约,这个合约的效果是锁定3到6时刻这期间loan的利率。


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