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:
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?