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Jingwen · 2021年08月08日

老师，我发现这类题目我总不知道是在求哪个点的value或者price

NO.PZ2019010402000013

问题如下：

A bank entered into a 3×6 FRA 30 days ago as a fixed receiver. The fixed rate is 1.25%, and notional principle is $100 million. The settlement terms are advanced set, advanced settle. The current Libor data is as follows:

The value of this 3×6 FRA is:

选项：

A.

11,873

B.

-11,873

C.

-12,579

解释：

B is correct.

考点：FRA的估值

解析：

画图：

$value_{long}=\frac{100000000}{1+1.05\%\times\frac{60}{360}}-\frac{100000000\times(1+1.25\%\times\frac{90}{360})}{1+1.2\%\times\frac{150}{360}}=11873$

题中的银行是fixed receiver，即FRA的short方。上图是以Long方，即Borrower(floating receiver）为例，所以fixed receiver (short)的value=-long=-11873

老师您好，在做这道题目的时候，我听了课之后图都是会画了，但是在做题的时候有一个问题，就是不知道在求哪个时间节点的value或者price。

就拿这道题来说，The value of this 3×6 FRA is，这个的话我当时理解成在FRA到期的时候的价格了，然后发现没有相应的折现率，也就求不下去了。这个有什么好的方法能够辨别吗？还是考试的时候会写好是在现在的时间节点的value？

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WallE_品职答疑助手 · 2021年08月09日

嗨，努力学习的PZer你好：

The value of this 3×6 FRA is 强调的是value，所以肯定不是求价格，价格的英文是price

求哪个时间点的，需要看题干，比如这道题目的第一句话A bank entered into a 3×6 FRA 30 days ago as a fixed receiver. 也就是30天前是0时刻，0时刻决定整一个3*6的FRA。所以现在在30的时间点。

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

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