NO.PZ202108100100000207
问题如下:
Based on Exhibit 7, the no-arbitrage fixed rate on a new 1 x 4 FRA is closest to:
选项:
A.
0.65%.
B.
0.73%.
C.
0.98%.
解释:
C is correct.
The no-arbitrage fixed rate on the 1 x 4 FRA is calculated as
FRA0 = {[1 + LT tT ]/[1 + Lh th ] - 1}/tm
For a 1 x 4 FRA, the two rates needed to compute the no-arbitrage FRA fixed rate are L(30) = 0.75% and L(120) = 0.92%. Therefore, the no-arbitrage fixed rate on the 1 x 4 FRA rate is calculated as
FRA(0,30,90) = {[1 + 0.0092(120/360)]/[1 + 0.0075(30/360)] - 1}/(90/360).
FRA(0,30,90) = [(1.003066/1.000625) - 1]×4 = 0.009761, or 0.98% rounded
中文解析:
本题考察的是对FRA进行定价,使用画图法基于t=0时刻的value=0来求。
向上箭头折现至0时刻为:
向下箭头折现至0时刻为:
另向上箭头=向下箭头,即可求得唯一的未知量FRA。
这个不是单利吗?我记得swap和interest rate好像都要年化的?