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aileen20180623 · 2022年01月29日

这个题目

  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。

这个receivefix 是不是也是指代short？所以是（FRA0-Lm）*m/1+DmtM？可课件写的DM=Lm这种时候是什么情况，如果不是特殊说明，我最开始带入的是Lm=DM？（课件34页）


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1 个答案

Lucky_品职助教 · 2022年02月01日

嗨，努力学习的PZer你好：


-这个receivefix 是不是也是指代short？-是的

-可课件写的DM=Lm这种时候是什么情况？-90天的libor是市场上的libor，对于大家来说都是一样的。折现率你可以理解成特定项目或企业的股东的要求回报率，不同的企业或者项目股东要求的回报率不同。两个的概念不同，数值就自然可能不同。对于FRA这块的题目，如果题目特别说明了折现率，我们就用题目说的折现率折现，如果题目没说，我们就默认用libor折现。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。

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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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