题干中FRA settlement discount factor 1.1%是否用到？

NO.PZ202108100100000206 问题如下 SonJohnson is a risk manager for a bank. She manages the bank’s risks using a combination of swaps anforwarrate agreements (FRAs).Johnson prices a three-yeLibor-baseinterest rate swwith annuresets using the present value factors presentein Exhibit 1.Johnson also uses the present value factors in Exhibit 1 to value interest rate swththe bank entereinto one yeago the receive-floating party. Selecteta for the sware presentein Exhibit 2. Johnson notes ththe current equilibrium two-yefixeswrate is 1.12%.One of the bank’s investments is exposeto movements in the Japanese yen, anJohnson sires to hee the currenexposure. She prices a one-yefixefor-fixecurrenswinvolving yen anUS llars, with a quarterly reset. Johnson uses the interest rate ta presentein Exhibit 3 to prithe currenswap.Johnson next reviews equity swwith annureset ththe bank entereinto six months ago the receive-fixe pay-equity party. Selecteta regarng the equity swap, whiis linketo equity inx, are presentein Exhibit 4. the time of initiation, the unrlying equity inx wtrang 100.00.The equity inx is currently trang 103.00, anrelevant US spot rates, along with their associatepresent value factors, are presentein Exhibit 5.Johnson reviews a 6 x 9 FRA ththe bank entereinto 90 ys ago the pay-fixe receive-floating party. Selecteta for the FRA are presentein Exhibit 6, ancurrent Libor ta are presentein Exhibit 7. Baseon her interest rate forecast, Johnson also consirs whether the bank shoulenter into new positions in 1 x 4 an2 x 5 FRAs.Three months later, the 6 x 9 FRA in Exhibit 6 reaches expiration, whitime the three-month US llLibor is 1.10% anthe six-month US llLibor is 1.20%. Johnson termines ththe appropriate scount rate for the FRA settlement cash flows is 1.10%. From the bank’s perspective, baseon Exhibits 6 an7, the value of the 6 x 9 FRA 90 ys after inception is closest to: A.$14,817. B.$19,647. C.$29,635. A is correct. The current value of the 6 × 9 FRA is calculateasThe 6 × 9 FRA expires six months after initiation. The bank entereinto the FRA 90 ys ago; thus, the FRA will expire in 90 ys. To value the FRthe first step is to compute the new FRA rate, whiis the rate on y 90 of FRA thexpires in 90 ys in whithe unrlying is the 90-y Libor:Exhibit 7 incates thL90 = 0.90% anL180 = 0.95%, soherefore, given the FRA rate initiation of 0.70% annotionprincipof $20 million from Exhibit 1, the current value of the forwarcontrais calculate中文解析本题考察的是FRA的估值。上述方法使用的是重新定价法，还可以使用画图法，如下图 Johnson termines ththe appropriate scount rate for the FRA settlement cash flows is 1.10%.已经给出了这个条件啊，看不懂答案为什么使用LIBOR折现

NO.PZ202108100100000206问题如下 From the bank’s perspective, baseon Exhibits 6 an7, the value of the 6 x 9 FRA 90 ys after inception is closest to: A.$14,817.B.$19,647.C.$29,635. A is correct. The current value of the 6 × 9 FRA is calculateasThe 6 × 9 FRA expires six months after initiation. The bank entereinto the FRA 90 ys ago; thus, the FRA will expire in 90 ys. To value the FRthe first step is to compute the new FRA rate, whiis the rate on y 90 of FRA thexpires in 90 ys in whithe unrlying is the 90-y Libor:Exhibit 7 incates thL90 = 0.90% anL180 = 0.95%, soherefore, given the FRA rate initiation of 0.70% annotionprincipof $20 million from Exhibit 1, the current value of the forwarcontrais calculate中文解析本题考察的是FRA的估值。上述方法使用的是重新定价法，还可以使用画图法，如下图 老师能不能讲解一下重新定价法的解题过程，题目的没看懂，谢谢！

NO.PZ202108100100000206 Baseon Exhibit 6 anthe three-month US llLibor expiration, the payment amount ththe bank will receive to settle the 6 x 9 FRA is closest to: 这个问和这个问的区别是？ 请哪位老师讲讲，我确实蒙掉了