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:
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。
这个题目我还让我们讲解方法去想的话,签订2*5 FRA的现金流是等同于在2时刻做一笔以fixed FRA的loan,那我理解现金流相当于是在2时刻收到NP,5时刻支付NP*(1+FRA*1/4)
还是不理解减去0.8%的原因