miao999 · 2022年02月20日
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.
你好，没看懂题意，也没看懂为什么是第18个月交割，请帮我解析一下
品职答疑小助手雍 · 2022年02月20日
同学你好，FRA的定义就是如此，“ 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”是交易的内容，starting in 18 months是结算的时间。
FRA是赌的是未来（18个月后）的借款交易，18个月后你以3%的年利率借给别人（半年时间）钱的意思，过了18个月市场利率是3.5%，也就是这笔交易你借给别人钱的利率比市场还便宜0.5%，这意味着这赌的结果你亏了0.5%的利息，但是这个利息是半年后支付的，所以算出这0.5%利息之后要以市场利率折现半年，你就把这笔钱赔给交易对手方就可以了（你亏的钱在18个月那个节点上的现值直接结算）。
其实既然提问这个问题了，意味着你对FRA的定义没有了解，建议去听一下Section 19的Forward Rate Agreement
NO.PZ2020021204000020 问题如下 In FRannualizerate of 3% will receiveansix-month LIBOR will paion a principof US5,000,000 for a six-month periostarting in 18 months. If the annualizesix-month forwarrate in 18 months proves to 3.5%, whis the settlement on the FRWhen is it ma? The USsettlement in 18 months is((0.03 - 0.035) X 0.5 X 5,000,000)/(1 + 0.035 /2 )= -12285It is settlein 18 months. 6 month libor is pai什么不是borrow那一方，而变成了len那一方，记得老师说receive rate是len一方
NO.PZ2020021204000020 问题如下 In FRannualizerate of 3% will receiveansix-month LIBOR will paion a principof US5,000,000 for a six-month periostarting in 18 months. If the annualizesix-month forwarrate in 18 months proves to 3.5%, whis the settlement on the FRWhen is it ma? The USsettlement in 18 months is((0.03 - 0.035) X 0.5 X 5,000,000)/(1 + 0.035 /2 )= -12285It is settlein 18 months. 根据题意，如何确定loan的时间是6个月呢？starting in 18month 这个如何理解呢？
NO.PZ2020021204000020 问题如下 In FRannualizerate of 3% will receiveansix-month LIBOR will paion a principof US5,000,000 for a six-month periostarting in 18 months. If the annualizesix-month forwarrate in 18 months proves to 3.5%, whis the settlement on the FRWhen is it ma? The USsettlement in 18 months is((0.03 - 0.035) X 0.5 X 5,000,000)/(1 + 0.035 /2 )= -12285It is settlein 18 months. No.PZ2020021204000020 (问答题)来源: 原版书In FRannualizerate of 3% will receiveansix-month LIBOR will paion a principof US5,000,000 for a six-month periostarting in 18 months. If the annualizesix-month forwarrate in 18 months proves to 3.5%, whis the settlement on the FRWhen is it ma?解析The USsettlement in 18 months is((0.03 - 0.035) X 0.5 X 5,000,000)/(1 + 0.035 /2 )= -12285It is settlein 18 months.问题1、annualizerate of 3% will receive—这个3%是不是指FRA的利率，表示我是个short position？2、six-month LIBOR——这个是多少？题目中并没有给出3、If the annualizesix-month forwarrate in 18 months proves to 3.5%——这句话怎么又出来一个FRA rate=3.5%？怎么理解？4、我理解题目中的FRA是18*24FRA，这个是正确的吗？
NO.PZ2020021204000020 问题如下 In FRannualizerate of 3% will receiveansix-month LIBOR will paion a principof US5,000,000 for a six-month periostarting in 18 months. If the annualizesix-month forwarrate in 18 months proves to 3.5%, whis the settlement on the FRWhen is it ma? The USsettlement in 18 months is((0.03 - 0.035) X 0.5 X 5,000,000)/(1 + 0.035 /2 )= -12285It is settlein 18 months. 按照讲义笔记，做差为啥不是3.5-3这里是6%-5%啊
