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

返回

张俊婷 · 2021年10月07日

FRA settlement 公式中，分母用的利率是哪个？谢谢

  1. FRM I
  2. Financial Markets And Products

NO.PZ2020021204000020

问题如下：

In an FRA, an annualized rate of 3% will be received and six-month LIBOR will be paid on a principal of USD 5,000,000 for a six-month period starting in 18 months. If the annualized six-month forward rate in 18 months proves to be 3.5%, what is the settlement on the FRA? When is it made?

选项：

解释：

The USD settlement in 18 months is

((0.03 - 0.035) X 0.5 X 5,000,000)/(1 + 0.035 /2 )= -12285

It is settled in 18 months.

((0.03 - 0.035) X 0.5 X 5,000,000)/(1 + 0.035 /2 )= -12285

 答案中分母为什么用的是0.035，根据讲义我理解是0.03啊？

添加评论
1 个答案

李坏_品职助教 · 2021年10月07日

嗨，从没放弃的小努力你好：


FRA的value计算的时候，discount要用forward interest rate。可以看一下notes里面的例题：


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

  • 1

    回答

  • 0

    关注

  • 370

    浏览
相关问题

NO.PZ2020021204000020 问题如下 In FRannualizerate of 3% will receiveansix-month LIBOR will paion a principof US5,000,000 for a six-month periostarting in 18 months. If the annualizesix-month forwarrate in 18 months proves to 3.5%, whis the settlement on the FRWhen is it ma? The USsettlement in 18 months is((0.03 - 0.035) X 0.5 X 5,000,000)/(1 + 0.035 /2 )= -12285It is settlein 18 months. 6 month libor is pai什么不是borrow那一方，而变成了len那一方，记得老师说receive rate是len一方

2024-05-23 23:19 1 · 回答

NO.PZ2020021204000020 问题如下 In FRannualizerate of 3% will receiveansix-month LIBOR will paion a principof US5,000,000 for a six-month periostarting in 18 months. If the annualizesix-month forwarrate in 18 months proves to 3.5%, whis the settlement on the FRWhen is it ma? The USsettlement in 18 months is((0.03 - 0.035) X 0.5 X 5,000,000)/(1 + 0.035 /2 )= -12285It is settlein 18 months. 根据题意，如何确定loan的时间是6个月呢？starting in 18month 这个如何理解呢？

2024-01-30 12:40 1 · 回答

NO.PZ2020021204000020 问题如下 In FRannualizerate of 3% will receiveansix-month LIBOR will paion a principof US5,000,000 for a six-month periostarting in 18 months. If the annualizesix-month forwarrate in 18 months proves to 3.5%, whis the settlement on the FRWhen is it ma? The USsettlement in 18 months is((0.03 - 0.035) X 0.5 X 5,000,000)/(1 + 0.035 /2 )= -12285It is settlein 18 months. No.PZ2020021204000020 (问答题)来源: 原版书In FRannualizerate of 3% will receiveansix-month LIBOR will paion a principof US5,000,000 for a six-month periostarting in 18 months. If the annualizesix-month forwarrate in 18 months proves to 3.5%, whis the settlement on the FRWhen is it ma?解析The USsettlement in 18 months is((0.03 - 0.035) X 0.5 X 5,000,000)/(1 + 0.035 /2 )= -12285It is settlein 18 months.问题1、annualizerate of 3% will receive—这个3%是不是指FRA的利率，表示我是个short position？2、six-month LIBOR——这个是多少？题目中并没有给出3、If the annualizesix-month forwarrate in 18 months proves to 3.5%——这句话怎么又出来一个FRA rate=3.5%？怎么理解？4、我理解题目中的FRA是18*24FRA，这个是正确的吗？

2023-12-13 18:24 2 · 回答

NO.PZ2020021204000020 问题如下 In FRannualizerate of 3% will receiveansix-month LIBOR will paion a principof US5,000,000 for a six-month periostarting in 18 months. If the annualizesix-month forwarrate in 18 months proves to 3.5%, whis the settlement on the FRWhen is it ma? The USsettlement in 18 months is((0.03 - 0.035) X 0.5 X 5,000,000)/(1 + 0.035 /2 )= -12285It is settlein 18 months. 按照讲义笔记，做差为啥不是3.5-3这里是6%-5%啊

2023-01-19 22:38 1 · 回答

NO.PZ2020021204000020 你好，没看懂题意，也没看懂为什么是第18个月交割，请帮我解析一下

2022-02-20 05:08 1 · 回答