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K.K. · 2020年09月13日

问一道题:NO.PZ2019010402000013

问题如下:

A bank entered into a 3×6 FRA 30 days ago as a fixed receiver. The fixed rate is 1.25%, and notional principle is $100 million. The settlement terms are advanced set, advanced settle. The current Libor data is as follows:

The value of this 3×6 FRA is:

选项:

A.

11,873

B.

-11,873

C.

-12,579

解释:

B is correct.

考点:FRA的估值

解析:

画图:

valuelong=1000000001+1.05%×60360100000000×(1+1.25%×90360)1+1.2%×150360=11873value_{long}=\frac{100000000}{1+1.05\%\times\frac{60}{360}}-\frac{100000000\times(1+1.25\%\times\frac{90}{360})}{1+1.2\%\times\frac{150}{360}}=11873

题中的银行是fixed receiver,即FRA的short方。上图是以Long方,即Borrower(floating receiver)为例,所以fixed receiver (short)的value=-long=-11873

lender一方在锁定了较高的固定利率的情况下,在t=1时的value反而是负数,这个能说明什么问题吗?求解t=1时value的意义是什么?

1 个答案

WallE_品职答疑助手 · 2020年09月14日

同学您好,

0时刻我们是基于双方都不赚不亏的情况下签的合约,那么1时刻我们计算value,结果发现现在不是0,说明有一方赚钱了,而另外一方亏钱了。

fixed receiver (short)的value=-long=-11873 fixed receiver是银行,那就代表银行亏钱了。

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