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:
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。
收固定 故5时刻向上流入金额为(1+1.2%*3/12)*100000000 然后用1.5%贴现
付浮动 故2时刻向下流出金额为100000000
这样算出来与结果为什么不符合?