NO.PZ202108100100000406
问题如下:
The valuation inputs used by Lee to price a call reflecting Solomon’s interest
rate views should include an underlying FRA rate of:
选项:
A.0.60% with six months to expiration.
0.75% with nine months to expiration.
0.75% with six months to expiration.
解释:
C is correct.
Solomon’s forecast is for the three-month Libor to exceed 0.85% in six months. The correct option valuation inputs use the six-month FRA rate as the underlying, which currently has a rate of 0.75%.
中文解析:
该利率期权的标的注意是FRA即0.75%。根据题干信息可知,这是一个6×9的FRA,因此FRA是在6个月的时候到期,FRA结束后开始的loan是在9个月到期,因此本题选C。
您好这个FRA的6*9请问能否画个图标一下,我感觉自己有点懵,想知道0.6等题目里的各类利率的在时间线上标注