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moment50 · 2022年09月23日

想请教如果画图大法应该怎么做呢

  1. CFA II
  2. Derivative

NO.PZ2019010402000015

问题如下：

The company enters into a $100,000,000 notional amount 2 × 5 receive-fixed FRA that is advanced set, advanced settled. The appropriate discount rate for the FRA settlement cash flows is 1.5%. After 60 days, 90-day Libor is 0.80%, 60-day Libor is 0.7%.

If the FRA was initially priced at 1.20%, the payment received to settle the 2 × 5 FRA will be:

选项：

A.

100,000

B.

99,626

C.

99,800

解释：

B is correct.

考点：FRA settlement

解析：

payment received=(1.2%−0.8%)×312×100,000,0001+1.50%×312=99,626.4payment\text{ }received=\frac{(1.2\%-0.8\%)\times\frac3{12}\times100,000,000}{1+1.50\%\times\frac3{12}}=99,626.4

注：题目中特别说明了折现率是1.5%，所以直接用1.5%折现，不用90天的LIBOR折现。

是不是有了约定的折现率就就不能用画图大法？


我看懂答案的图，但是为啥算的答案不一样呢，


我的公式是向上：NP*(1+FRA/4),然后1.05%的折现率折现到t=2时间点，向下呢？向下不是刚刚好是FRA结束的时候？就是简单的NP？



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1 个答案

Lucky_品职助教 · 2022年09月26日

嗨，从没放弃的小努力你好：


这道题不适合用画图法，因为这道题指明不能用Libor0.8%来折现，而要用1.5%。如果两者统一都是0.8%，那么画图法是可以通用的。

----------------------------------------------
虽然现在很辛苦，但努力过的感觉真的很好，加油！

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