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wuzx · 2022年08月02日

d怎么改能对吗?

NO.PZ2016082402000057

问题如下:

A long position in a 2 x 5 FRA is equivalent to the following positions in the spot market:

选项:

A.

Borrowing in two months to finance a five-month investment

B.

Borrowing in five months to finance a two-month investment

C.

Borrowing half a loan amount at two months and the remainder at five months

D.

Borrowing in two months to finance a three-month investment

解释:

ANSWER: B

An FRA defined as t1×t2t_1\times t_2 involves a forward rate starting at time t1t_1 and ending at time t2t_2 The buyer of this FRA locks in a borrowing rate for months 3 to 5. This is equivalent to borrowing for five months and reinvesting the funds for the first two months.

改成借了5个月前,只投资后三个月的意思对吗?

2 个答案

DD仔_品职助教 · 2022年08月03日

嗨,爱思考的PZer你好:


2*5代表俩时间点,2时刻FRA结束,5时刻loan结束。loan的时间是2~5这三个月。

这个地方是最基础的FRA合约的理解,强烈建议同学再回去听一下基础班视频,老师在这里有很详细的讲解,是重点知识需要掌握。

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DD仔_品职助教 · 2022年08月02日

嗨,爱思考的PZer你好:


同学你好,具体请看下图,红色是原本的FRA,蓝色是等效的头寸。

d选项时间不对,是借5个月的钱,同时0~2这俩月投资

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加油吧,让我们一起遇见更好的自己!

wuzx · 2022年08月02日

老师,是不是2×5,后面的数字代表整体借款时间,前面的数字代表投资的时间?

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