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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？

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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：


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努力的时光都是限量版，加油！

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