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ZJH · 2020年04月09日

问一道题:NO.PZ2019010402000015

问题如下:

The company enters into a $100,000,000 notional amount 2 × 5 receive-fixed FRA that is advanced set, advanced settled. The appropriate discount rate for the FRA settlement cash flows is 1.5%. After 60 days, 90-day Libor is 0.80%, 60-day Libor is 0.7%.

If the FRA was initially priced at 1.20%, the payment received to settle the 2 × 5 FRA will be:

选项:

A.

100,000

B.

99,626

C.

99,800

解释:

B is correct.

考点:FRA settlement

解析:

payment received=(1.2%0.8%)×312×100,000,0001+1.50%×312=99,626.4payment\text{ }received=\frac{(1.2\%-0.8\%)\times\frac3{12}\times100,000,000}{1+1.50\%\times\frac3{12}}=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。

老师请问如果不用画图法,用重新定价法的话,60days后的那天的fra怎么求呢?是不是t=2时的fra=0.8%呢

1 个答案

xiaowan_品职助教 · 2020年04月10日

嗨,从没放弃的小努力你好:


同学你好,这道题并不是求FRA的value,而是求交割金额,交割的实际实际是在2时刻,所以将贷款结束后计算出的损益折现到2时刻,

这里是不适用重新定价法的哈。


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