NO.PZ2016082402000059
问题如下:
Consider the buyer of a 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