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CC · 2023年08月23日

FRA相关问题

  1. CFA II
  2. Derivative

NO.PZ2023020101000009

问题如下：

Sheroda asks Parisi to help her with fixed-income derivatives. First, she wants to better understand forward rate agreements (FRAs). Parisi points out the following attributes of an FRA:

Parisi is most likely correct regarding which attribute of an FRA?

选项：

A.

Attribute 3

B.

Attribute 2

C.

Attribute 1

解释：

Parisi is correct with regard to Attribute 2. Being long the FRA means that you gain when MRR rises. The fixed receiver counterparty receives an interest payment based on a fixed rate and makes an interest payment based on a floating rate. The floating receiver counterparty receives an interest payment based on a floating rate and makes an interest payment based on a fixed rate.

老师，A和C错在哪里？

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1 个答案

Lucky_品职助教 · 2023年08月24日

嗨，爱思考的PZer你好：


第一句话把long和short方说反了，long 方是pay fixed ，short方是pay float

第三句话说的不对，盈亏是取决于9-6=3个月的MRR

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Bonnie Lin · 2024年04月07日

老师6*9fra是expire in 6 month对吗

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相关问题

NO.PZ2023020101000009 问题如下 Shero asks Parisi to helpher with fixeincome rivatives. First, she wants to better unrstanorwarrate agreements (FRAs). Parisi points out the following attributes ofFRA:Parisiis most likelycorreregarng whiattribute of FR A.Attribute 3 B.Attribute 2 C.Attribute 1 Parisi is correwith regarto Attribute 2. Being long the FRA meansthyou gain when MRR rises. The fixereceiver counterparty receives aninterest payment baseon a fixerate anmakes interest payment baseon afloating rate. The floating receiver counterparty receives interest paymentbaseon a floating rate anmakes interest payment baseon a fixerate. 老师你好，FRA不是不涉及双方的资金交换的吗？upon expiry, 参照FRA0价格 和MRR 由负方支付差额就行了吧？为啥这里还要互相给呢？

2024-11-08 11:21 1 · 回答

NO.PZ2023020101000009 问题如下 Shero asks Parisi to helpher with fixeincome rivatives. First, she wants to better unrstanorwarrate agreements (FRAs). Parisi points out the following attributes ofFRA:Parisiis most likelycorreregarng whiattribute of FR A.Attribute 3 B.Attribute 2 C.Attribute 1 Parisi is correwith regarto Attribute 2. Being long the FRA meansthyou gain when MRR rises. The fixereceiver counterparty receives aninterest payment baseon a fixerate anmakes interest payment baseon afloating rate. The floating receiver counterparty receives interest paymentbaseon a floating rate anmakes interest payment baseon a fixerate. fixereceiver 不是fixe率，也就是long fra么？

2023-10-17 23:18 2 · 回答