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Nic · 2020年06月25日

问一道题：NO.PZ2019010402000015

  1. CFA II
  2. Derivative

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。

你好，FRA这里学得不好，我选的C，理由如下：

payment received at T=2, 就是求Value，所以用上减下。

上就是NP， 下就是NP*(1+FRA*3/12) / （1+1.5% * 3/12）

结果是C。

我想问问是不是一开始就想错了，这题其实是问T=2的实际交割，而不是Value。

实际交割就是利差，在T=2 到T= 5时间段内，其中一个是单纯的loan。

所以才如答案的思路。

请问我这样想对吗？

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1 个答案

WallE_品职答疑助手 · 2020年06月28日

从计算上讲其实是差不多的意思，求value还是求利差都是向上箭头减去向下箭头。

如果从概念是理解的话，settlement说的是交割，settlement是发生在FRA到期的时刻。在2时刻，就是FRA到期的时候，求交割，我们就用（FRA-libor）乘以本金再折现。相当于我们签订了FRA，我们收到FRA乘以本金这么多利息，不签订FRA我们收到libor乘以本金这么多利息，那么签订FRA交割的金额就是两者相减再折现（就相当于算签订FRA带给我们的好处）。

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