开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)|3.2.5(安卓)APP下载

PJ-John · 2021年04月13日

为什么1.2%可直接减0.8%

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。

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?

3 个答案

WallE_品职答疑助手 · 2021年05月04日

嗨,爱思考的PZer你好:


这道题不能用老李的画图法。下图中方法1为画图法,画图法的原理就是现金流折现再轧差,但是期末的现金流折现的时候要根据当前的市场libor折现,也就是按照0.8%折现,而这道题目明确要求是按照1.5%折现,所以不能按照第一种方法算。方法2为是期末做差在折现。


----------------------------------------------
加油吧,让我们一起遇见更好的自己!

WallE_品职答疑助手 · 2021年04月17日

嗨,爱思考的PZer你好:


因为您之前描述的是,

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

这两个时间点对不上。



您看这才是答案折现的思路,如果您说用0.8%折现 那分子上减去的部分折现后就变成1了,所以才会恰巧一样。考试的话如果也像这样说吗了折现率那就得用它说的。

----------------------------------------------
努力的时光都是限量版,加油!

Qqnd · 2021年05月04日

我也有同样的疑问,想用李老师的画图大法计算这道题,得到了和楼主相同的两项,相减得不出答案。可不可以请老师用这道题带入一下画图大法的公式?我记下的公式是 V = NP - NP (1 + FRA x tm ) / (1 + Lhm x tm) 所以 V = 100m - 100m ( 1 + 1.2%/4) / (1 + 1.5%/4) 是我哪个数字代错了嘛?

WallE_品职答疑助手 · 2021年04月14日

嗨,爱思考的PZer你好:


贷款开始日,也就是2时间点,相当于如果不签订合约,我的贷款利率是libor,签订合约后我的贷款利率是FRA约定的fix rate。因此我们在5时间点会用,所以这两笔轧差是发生在5时刻的,因此要在5时刻减去后再乘以本金然后在折现。

----------------------------------------------
就算太阳没有迎着我们而来,我们正在朝着它而去,加油!

  • 3

    回答
  • 1

    关注
  • 553

    浏览
相关问题

NO.PZ2019010402000015问题如下The company enters into a $100,000,000 notionamount 2 × 5 receive-fixeFRA this aanceset, aancesettle The appropriate scount rate for the FRA settlement cash flows is 1.5%. After 60 ys, 90-y Libor is 0.80%, 60-y Libor is 0.7%.If the FRA winitially price1.20%, the payment receiveto settle the 2 × 5 FRA will be:A.100,000B.99,626C.99,800B is correct.考点FRA settlement解析payment receive(1.2%−0.8%)×312×100,000,0001+1.50%×312=99,626.4payment\text{ }receive\frac{(1.2\%-0.8\%)\times\frac3{12}\times100,000,000}{1+1.50\%\times\frac3{12}}=99,626.4payment receive1+1.50%×123​(1.2%−0.8%)×123​×100,000,000​=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。没有其他补充了,谢谢

2024-03-13 22:17 1 · 回答

NO.PZ2019010402000015问题如下The company enters into a $100,000,000 notionamount 2 × 5 receive-fixeFRA this aanceset, aancesettle The appropriate scount rate for the FRA settlement cash flows is 1.5%. After 60 ys, 90-y Libor is 0.80%, 60-y Libor is 0.7%.If the FRA winitially price1.20%, the payment receiveto settle the 2 × 5 FRA will be:A.100,000B.99,626C.99,800B is correct.考点FRA settlement解析payment receive(1.2%−0.8%)×312×100,000,0001+1.50%×312=99,626.4payment\text{ }receive\frac{(1.2\%-0.8\%)\times\frac3{12}\times100,000,000}{1+1.50\%\times\frac3{12}}=99,626.4payment receive1+1.50%×123​(1.2%−0.8%)×123​×100,000,000​=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。这题的数给的有问题吧,公式应该是NA×[Lm-FRA0]×tm/(1+×tm),怎么会用1.2%-0.8%,应该用0.8%-1.2%

2023-10-21 16:25 1 · 回答

NO.PZ2019010402000015问题如下The company enters into a $100,000,000 notionamount 2 × 5 receive-fixeFRA this aanceset, aancesettle The appropriate scount rate for the FRA settlement cash flows is 1.5%. After 60 ys, 90-y Libor is 0.80%, 60-y Libor is 0.7%.If the FRA winitially price1.20%, the payment receiveto settle the 2 × 5 FRA will be:A.100,000B.99,626C.99,800B is correct.考点FRA settlement解析payment receive(1.2%−0.8%)×312×100,000,0001+1.50%×312=99,626.4payment\text{ }receive\frac{(1.2\%-0.8\%)\times\frac3{12}\times100,000,000}{1+1.50\%\times\frac3{12}}=99,626.4payment receive1+1.50%×123​(1.2%−0.8%)×123​×100,000,000​=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。请问这题的头寸怎么看?根据FRA settlement的公式 不是应该当前的利率减FRA么?答案里面用FRA-当前利率

2023-10-07 21:32 1 · 回答

NO.PZ2019010402000015 问题如下 The company enters into a $100,000,000 notionamount 2 × 5 receive-fixeFRA this aanceset, aancesettle The appropriate scount rate for the FRA settlement cash flows is 1.5%. After 60 ys, 90-y Libor is 0.80%, 60-y Libor is 0.7%.If the FRA winitially price1.20%, the payment receiveto settle the 2 × 5 FRA will be: A.100,000 B.99,626 C.99,800 B is correct.考点FRA settlement解析payment receive(1.2%−0.8%)×312×100,000,0001+1.50%×312=99,626.4payment\text{ }receive\frac{(1.2\%-0.8\%)\times\frac3{12}\times100,000,000}{1+1.50\%\times\frac3{12}}=99,626.4payment receive1+1.50%×123​(1.2%−0.8%)×123​×100,000,000​=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。 因为比较熟悉小t时刻求value时用重新定价法的,但是不太熟悉,settlement的折现,所以想confirm一下,Payment receive是折到贷款合约开始的时刻(即本题t=2时间点)?所以分母折现应该用90/360对吗?

2023-08-25 18:50 1 · 回答

NO.PZ2019010402000015问题如下 The company enters into a $100,000,000 notionamount 2 × 5 receive-fixeFRA this aanceset, aancesettle The appropriate scount rate for the FRA settlement cash flows is 1.5%. After 60 ys, 90-y Libor is 0.80%, 60-y Libor is 0.7%.If the FRA winitially price1.20%, the payment receiveto settle the 2 × 5 FRA will be:A.100,000B.99,626C.99,800B is correct.考点FRA settlement解析payment receive(1.2%−0.8%)×312×100,000,0001+1.50%×312=99,626.4payment\text{ }receive\frac{(1.2\%-0.8\%)\times\frac3{12}\times100,000,000}{1+1.50\%\times\frac3{12}}=99,626.4payment receive1+1.50%×123​(1.2%−0.8%)×123​×100,000,000​=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。这一题为什么是用1.2%减去0.8%?

2023-08-09 21:42 1 · 回答