NO.PZ201903040100000109
问题如下：
9.Based on Exhibit 6 and the three-month US dollar Libor at expiration, the payment amount that the bank will receive to settle the 6 x 9 FRA is closest to:
选项：
A.$19,945.
B.$24,925.
C.$39,781.
解释：
A is correct. Given a three-month US dollar Libor of 1.10% at expiration, the settlement amount for the bank as the receive-floating party is calculated as
Settlement amount (receive floating) = NA{[Lh(m) - FRA(0,h,m)]tm}/[1 + Dh(m)tm]
Settlement amount (receive floating) = $20,000,000[(0.011 - 0.0070)(90/360)]/[1 + 0.011(90/360)]
Settlement amount (receive floating) = $20,000/1.00275 = $19,945.15
Therefore, the bank will receive $19,945 (rounded) as the receive-floating party.
老师好 这题如果叫我们用exhibit7 的话， 是否current libor 就是以settelement date 也就是180 天为起点的LIBOR了？ 然后就可以用0.75% 来做这题了是吗？ 这题之所以用1.1%来做是因为题目叫我们用exhibit 6 没叫我们用exhibit7 来做，是吗？题目中给的current rate 的时间起点都是因题目而变的是吗？ 如果现在在settlement date, 那given的current rate 的时间起点就是settlement date, 如果如果时间点在settlement date 之前的话， 那given的current rate 的时间起点就是settlement date是吗 如果这题题求是FRA定价，的时候 同一个current rate 表 起点就是以0（前面有几道题目就是这样做的。 我对题中给的current rate 的时间起点的理解对吗？ 谢谢。
