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Johnny25 · 2023年05月03日

关于Valuation date的确认

NO.PZ2019010402000013

问题如下：

A bank entered into a 3×6 FRA 30 days ago as a fixed receiver. The fixed rate is 1.25%, and notional principle is $100 million. The settlement terms are advanced set, advanced settle. The current Libor data is as follows:

The value of this 3×6 FRA is:

选项：

A.

11,873

B.

-11,873

C.

-12,579

解释：

B is correct.

考点：FRA的估值

解析：

画图：

$value_{long}=\frac{100000000}{1+1.05\%\times\frac{60}{360}}-\frac{100000000\times(1+1.25\%\times\frac{90}{360})}{1+1.2\%\times\frac{150}{360}}=11873$

题中的银行是fixed receiver，即FRA的short方。上图是以Long方，即Borrower(floating receiver）为例，所以fixed receiver (short)的value=-long=-11873

请问老师如何确认valuation date是在60的呢？因为题目中说“A bank entered into a 3×6 FRA 30 days ago”。我对这条信息的理解是，站在90天也就是3X6的3这里是loan开始的时候，那么0-3就是FRA的时间，3-6就是loan的时间。也就是说如果我 entered into a 3×6 FRA 30 days ago，那就代表valuation date 应该是90-30=60的时间点？

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pzqa27 · 2023年05月04日

嗨，从没放弃的小努力你好：

题目说A bank entered into a 3×6 FRA 30 days ago，也就是说这份3*6的FRA是在30天前开始的，那么在30天前，这份合约的结算日是90天后，过了30，还剩60天，所以是60天到期

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

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puppylan1111 · 2023年10月05日

你好。我还是没有理解，为什么是60天。合约3x6的话，30天前购入，不应该是“2”时刻嘛？怎么变成“1”时刻了？

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