问题如下:
ABC, Inc., entered a forward rate agreement (FRA) to receive a rate of 3.75% with continuous compounding on a principal of USD 1 million between the end of year 1 and the end of year 2. The zero rates are 3.25% and 3.50% for one and two years. What is the value of the FRA when the deal is just entered?
选项:
A.USD 35,629
B.USD 34,965
C.USD 664
D.USD 0
解释:
ANSWER: D
The market-implied forward rate is given by ,or Given that this is exactly equal to the quoted rate, the value must be zero. If instead this rate was 3.50%, for example, the value would be
请问答案中举的3.5%的例子在计算第2年年末的利差时(3.75%-3.5%),为什么不用e^3.75%-e^3.5%,条件不是说用连续复利吗?