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ZAA · 2022年06月12日

为什么FRA是1.25

NO.PZ2019010402000013

问题如下:

A bank entered into a 3×6 FRA 30 days ago as a fixed receiver. The fixed rate is 1.25%, and notional principle is $100 million. The settlement terms are advanced set, advanced settle. The current Libor data is as follows:


The value of this 3×6 FRA is:

选项:

A.

11,873

B.

-11,873

C.

-12,579

解释:

B is correct.

考点:FRA的估值

解析:

画图:

valuelong=1000000001+1.05%×60360100000000×(1+1.25%×90360)1+1.2%×150360=11873value_{long}=\frac{100000000}{1+1.05\%\times\frac{60}{360}}-\frac{100000000\times(1+1.25\%\times\frac{90}{360})}{1+1.2\%\times\frac{150}{360}}=11873

题中的银行是fixed receiver,即FRA的short方。上图是以Long方,即Borrower(floating receiver)为例,所以fixed receiver (short)的value=-long=-11873

为什么FRA是1.25

1 个答案

Lucky_品职助教 · 2022年06月14日

嗨,努力学习的PZer你好:


FRA合约是约定M个月后N个月的贷款利率,实际上M个月后借款人还是按照市场利率贷款的,但通过签署FRA合约,即假设贷款了,与不签署做差算出个收益或支出,这样不管市场利率如何变化,借款人都能按照自己的预期(FRA约定的利率)借款,FRA约定的就是一个固定借款利率,即题干中说的1.25

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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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