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liz_naonao · 2020年11月20日

问一道题：NO.PZ2019010402000015

  1. CFA II
  2. Derivative

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：

payment received=(1.2%−0.8%)×312×100,000,0001+1.50%×312=99,626.4payment\text{ }received=\frac{(1.2\%-0.8\%)\times\frac3{12}\times100,000,000}{1+1.50\%\times\frac3{12}}=99,626.4

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

添加评论
Yan · 2021年02月07日

和这个同学有一样的问题。我感觉助教用的是重新定价法，但是按照李老师的想法，重新定价法与画图大法，算出来的结果应该是一样的。那如果用画图大法，怎么做呢？

1 个答案

xiaowan_品职助教 · 2020年11月22日

嗨，从没放弃的小努力你好：


同学你好，

FRA可以帮助我们锁定loan的利率，实际操作过程是在2时刻我们仍然以实际市场利率进行loan的交易，而FRA结算的是其定价1.2%和市场利率0.8的差额部分再折现。

加总在一起才使得利率锁定在1.2%。


-------------------------------
虽然现在很辛苦，但努力过的感觉真的很好，加油！


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