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yunli · 2022年01月22日

看了助教对之前题目的解答依然有疑惑

  1. FRM I
  2. Financial Markets And Products

NO.PZ2016082402000057

问题如下：

A long position in a 2 x 5 FRA is equivalent to the following positions in the spot market:

选项：

A.

Borrowing in two months to finance a five-month investment

B.

Borrowing in five months to finance a two-month investment

C.

Borrowing half a loan amount at two months and the remainder at five months

D.

Borrowing in two months to finance a three-month investment

解释：

ANSWER: B

An FRA defined as t1×t2t_1\times t_2 involves a forward rate starting at time t1t_1 and ending at time t2t_2 The buyer of this FRA locks in a borrowing rate for months 3 to 5. This is equivalent to borrowing for five months and reinvesting the funds for the first two months.

你好！我有点疑问 ”borrow in 5 five months”这句话的意思是在5个月后借款，而不是说借期限为5个月的贷款；而答案解析里写的是”borrow for five months” 这两句的含义是不一样的。所以很想问选项里到底想表达那一种意思。请问这是原版书的题目吗。我还是觉得D选项的表达没有问题诶，这不就是forward本身的含义吗，等同于在两个月后以（两月后现货市场利率- Forward rate）借入期限为3个月的贷款。如果是按照您的解释，在0时刻以forward rate借入5个月的资金，那么这个交易的价值在2个月时的value为（1+forward rate*5/12)/(1+两个月后现货市场利率/4）；用这笔贷款在0时刻以两个月后现货市场利率贷出2个月，则这个交易在两个月时的value为（1+两个月后现货市场利率/6）。显然这两个金额相加并不等与FRA在2个月时的价值（即1+（两个月后现货市场利率- forward rate）/4 / （1+两个月后现货市场利率/4））。不知是否算错，对答案还是有疑问。望解答，谢谢！
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1 个答案

李坏_品职助教 · 2022年01月22日

嗨，爱思考的PZer你好：


B的意思是borrowing in 5 months and reinvest in the first 2 months。不是5个月之后借款，而是借了一笔5个月期限的贷款的同时立刻把这笔钱进行了为期2个月的再投资。


2×5 FRA的买方是等于现在先借了5个月的借款，但实际上他在2个月之后才需要这笔钱，所以在头两个月的时候可以把借来的这笔钱投资出去。


D说的是借了2个月的借款来进行3个月期限的投资，不符合2×5的意思了。

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

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