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yaokylu · 2022年01月03日

为什么是 “正数”？

  1. CFA II
  2. Derivative

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。

不应该是 （S-X）， 即 (0.8%-1.2%) x notional principle x........., 应该是负数才对。 请问我理解错在哪了？

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1 个答案

lynn_品职助教 · 2022年01月03日

嗨，从没放弃的小努力你好：


本题中说整个公司进入的是一个receive-fixed FRA，也就是说收固定，支浮动，FRA的定价1.2%就是收的固定利率，Libor的0.8%就是支出的浮动利率，所以用1.2%-0.8%。如果题目是receive float 那就是0.8%-1.2%了

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就算太阳没有迎着我们而来，我们正在朝着它而去，加油！

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