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lion · 2023年02月23日

问题

NO.PZ2016082402000059

问题如下:

Consider the buyer of a 6×96\times9 FRA. The contract rate is 6.35% on a notional amount of $10 million. Calculate the settlement amount of the seller if the settlement rate is 6.85%. Assume a 30/360-day count basis.

选项:

A.

-12,500

B.

-12,290

C.

+12,500

D.

+12,290

解释:

ANSWER: B

The seller of an FRA agrees to receive fixed. Since rates are now higher than the contract rate, this contract must show a loss for the seller. The loss is $10,000,000 x (6.85%-6.35%) × (90/360) = $12,500 when paid in arrears (i.e., in nine months). On the settlement date (i.e., brought forward by three months), the loss is $12,500/(1+6.85% × 0.25) = $12,290.

这道题为什么最后是×利率而不是利率的次方

1 个答案

DD仔_品职助教 · 2023年02月23日

嗨,努力学习的PZer你好:


同学你好,

你的问题是为什么折现用的是(1+6.85% × 0.25)而不是(1+6.85% )^0.25吗?

FRA这里折现率都是默认为单利的,这是FRA这里一定要注意的问题。除非题目说的是复利,否则都是单利:

下面这个题就是个例外

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

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