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:
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