问题如下:
7.The valuation inputs used by Lee to price a call reflecting Solomon’s interest rate views should include an underlying FRA rate of:
选项:
A.0.60% with six months to expiration.
B.0.75% with nine months to expiration.
C.0.75% with six months to expiration.
解释:
C is correct.
Solomon’s forecast is for the three-month Libor to exceed 0.85% in six months. The correct option valuation inputs use the six-month FRA rate as the underlying, which currently has a rate of 0.75%.
Option里的FRA不是settled in arrears么,为何不是9个月到期……