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liz_naonao · 2020年11月20日

问一道题:NO.PZ2019010402000015

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

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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