问题如下:
6.From the bank’s perspective, based on Exhibits 6 and 7, the value of the 6 x 9 FRA 90 days after inception is closest to:
选项:
A.$14,817.
B.$19,647.
C.$29,635.
解释:
A is correct. The current value of the 6 x 9 FRA is calculated as
Vg(0,h,m) = {[FRA(g,h - g,m) - FRA(0,h,m)]tm}/[1 + Dg(h + m - g)th+m-g]
The 6 x 9 FRA expires six months after initiation. The bank entered into the FRA 90 days ago; thus, the FRA will expire in 90 days. To value the FRA, the first step is to compute the new FRA rate, which is the rate on Day 90 of an FRA that expires in 90 days in which the underlying is the 90-day Libor, or FRA(90,90,90):
FRA(g,h - g,m) = {[1 + Lg(h - g + m)th-g+m]/[1 + L0(h - g)th-g] - 1}/tm
FRA(90,90,90) = {[1 + L90(180 - 90 + 90)(180/360)]/[1 + L90(180 - 90) (90/360)] - 1}/(90/360)
FRA(90,90,90) = {[1 + L90(180)(180/360)]/[1 + L90(90)(90/360)] - 1}/ (90/360)
Exhibit 7 indicates that L90(180) = 0.95% and L90(90) = 0.90%, so
FRA(90,90,90) = {[1 + 0.0095(180/360)]/[1 + 0.0090(90/360)] - 1}/(90/360)
FRA(90,90,90) = [(1.00475/1.00225) - 1](4) = 0.009978, or 0.9978%
Therefore, given the FRA rate at initiation of 0.70% and notional principal of $20 million from Exhibit 1, the current value of the forward contract is calculated as
Vg(0,h,m) = V90(0,180,90)
V90(0,180,90) = $20,000,000[(0.009978 - 0.0070)(90/360)]/[1 + 0.0095(180/360)].
V90(0,180,90) = $14,887.75/1.00475 = $14,817.37.
我按照FRA的原理,把支付固定利息的的三个月期贷款终值,用3个月的折现率1.1%,得到固定利息方向现金流的现值,与浮动方向现金流现值NP做差,然后用90天libor折现到当前。
1、6×9FRA在6个月时刻到期,进入3个月的贷款期,贷款终值为20,000,000×(1+0.7%×1/4);
2、将上述贷款终值用1.1%的折现率折现到贷款开始时,为20,000,000×(1+0.7%×1/4)/(1+1.1%×1/4)
3、用浮动利率在贷款开始时的现值20,000,000与上述固定利息贷款现金流现值做差,20,000,000-20,000,000×(1+0.7%×1/4)/(1+1.1%×1/4)=19,945.15
4、将上述结果用3个月libor0.9%折现到当前时刻,为19,945.15/(1+0.9%×1/4)=19,900.37.
请问这种算法错在哪里?为什么答案解析中不用1.1%的折现率?