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𝒜𝒩𝒥𝒜 安雅🎃 · 2023年02月02日

想确认一下我对short FRA的理解是否正确

  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。

老师你好，这题我算对了，但我想确认一下我对short FRA的理解是否正确，下方是我的理解，您可以帮我看看正确与否吗？谢谢。


假设现在是1月份，这公司担心未来利率下降，所以他打算锁定利率；为此，他与银行签订一份两个月后开始的为期三个月的的FRA，双方议定的利率是1.2%，名义本金是$100,000,000。


接着，时间来到3月份了，3月份现行利率是0.8%。


接着，时间来到6月份了，银行在6月份得向这公司补偿1月份FRA中议定好的利率和3月份现行利率的息差，也就是1.2%-0.8%的息差，金额是(1.2%-0.8%)x$100,000,000x(3➗12)，由于是advanced settled，所以要把金额折现到3月份。

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Lucky_品职助教 · 2023年02月06日

嗨，从没放弃的小努力你好：


你的理解是对的~

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加油吧，让我们一起遇见更好的自己！

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