开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)｜3.2.5(安卓)APP下载

返回

sentimentalbus · 2023年08月25日

分母折现天数的选择

  1. CFA II
  2. Derivative

NO.PZ2019010402000015

问题如下：

The company enters into a $100,000,000 notional amount 2 × 5 receive-fixed FRA that is advanced set, advanced settled. The appropriate discount rate for the FRA settlement cash flows is 1.5%. After 60 days, 90-day Libor is 0.80%, 60-day Libor is 0.7%.

If the FRA was initially priced at 1.20%, the payment received to settle the 2 × 5 FRA will be:

选项：

A.

100,000

B.

99,626

C.

99,800

解释：

B is correct.

考点：FRA settlement

解析：

payment received=(1.2%−0.8%)×312×100,000,0001+1.50%×312=99,626.4payment\text{ }received=\frac{(1.2\%-0.8\%)\times\frac3{12}\times100,000,000}{1+1.50\%\times\frac3{12}}=99,626.4

注：题目中特别说明了折现率是1.5%，所以直接用1.5%折现，不用90天的LIBOR折现。

因为比较熟悉小t时刻求value时用重新定价法的，但是不太熟悉，settlement的折现，所以想confirm一下，Payment receive是折到贷款合约开始的时刻（即本题t=2时间点）？所以分母折现应该用90/360对吗？

添加评论
1 个答案

pzqa35 · 2023年08月28日

嗨，爱思考的PZer你好：


本题考察的是FRA的settlement， FRA的settle特点就是advanced set，advance settled的原则，在此题中对于FRA来说，它在2时间点就已经到期了，但是真正的现金流结算产生在5时间点，所以我们需要把对应的现金流折算到2时间点。对于FRA的结算，我们在基础班的课程FRA quotation，replication，settlement中也有进行详细的讲解，同学可以使用1.5倍速，从11：05分开始听课来加深巩固一下settlement的知识点。

----------------------------------------------
加油吧，让我们一起遇见更好的自己！

  • 1

    回答

  • 1

    关注

  • 268

    浏览
相关问题

NO.PZ2019010402000015问题如下The company enters into a $100,000,000 notionamount 2 × 5 receive-fixeFRA this aanceset, aancesettle The appropriate scount rate for the FRA settlement cash flows is 1.5%. After 60 ys, 90-y Libor is 0.80%, 60-y Libor is 0.7%.If the FRA winitially price1.20%, the payment receiveto settle the 2 × 5 FRA will be:A.100,000B.99,626C.99,800B is correct.考点FRA settlement解析payment receive(1.2%−0.8%)×312×100,000,0001+1.50%×312=99,626.4payment\text{ }receive\frac{(1.2\%-0.8\%)\times\frac3{12}\times100,000,000}{1+1.50\%\times\frac3{12}}=99,626.4payment receive1+1.50%×123​(1.2%−0.8%)×123​×100,000,000​=99,626.4注题目中特别说明了折现率是1.5%，所以直接用1.5%折现，不用90天的LIBOR折现。没有其他补充了，谢谢

2024-03-13 22:17 1 · 回答

NO.PZ2019010402000015问题如下The company enters into a $100,000,000 notionamount 2 × 5 receive-fixeFRA this aanceset, aancesettle The appropriate scount rate for the FRA settlement cash flows is 1.5%. After 60 ys, 90-y Libor is 0.80%, 60-y Libor is 0.7%.If the FRA winitially price1.20%, the payment receiveto settle the 2 × 5 FRA will be:A.100,000B.99,626C.99,800B is correct.考点FRA settlement解析payment receive(1.2%−0.8%)×312×100,000,0001+1.50%×312=99,626.4payment\text{ }receive\frac{(1.2\%-0.8\%)\times\frac3{12}\times100,000,000}{1+1.50\%\times\frac3{12}}=99,626.4payment receive1+1.50%×123​(1.2%−0.8%)×123​×100,000,000​=99,626.4注题目中特别说明了折现率是1.5%，所以直接用1.5%折现，不用90天的LIBOR折现。这题的数给的有问题吧，公式应该是NA×[Lm-FRA0]×tm/（1+×tm），怎么会用1.2%-0.8%，应该用0.8%-1.2%

2023-10-21 16:25 1 · 回答

NO.PZ2019010402000015问题如下The company enters into a $100,000,000 notionamount 2 × 5 receive-fixeFRA this aanceset, aancesettle The appropriate scount rate for the FRA settlement cash flows is 1.5%. After 60 ys, 90-y Libor is 0.80%, 60-y Libor is 0.7%.If the FRA winitially price1.20%, the payment receiveto settle the 2 × 5 FRA will be:A.100,000B.99,626C.99,800B is correct.考点FRA settlement解析payment receive(1.2%−0.8%)×312×100,000,0001+1.50%×312=99,626.4payment\text{ }receive\frac{(1.2\%-0.8\%)\times\frac3{12}\times100,000,000}{1+1.50\%\times\frac3{12}}=99,626.4payment receive1+1.50%×123​(1.2%−0.8%)×123​×100,000,000​=99,626.4注题目中特别说明了折现率是1.5%，所以直接用1.5%折现，不用90天的LIBOR折现。请问这题的头寸怎么看？根据FRA settlement的公式 不是应该当前的利率减FRA么？答案里面用FRA-当前利率

2023-10-07 21:32 1 · 回答

NO.PZ2019010402000015问题如下 The company enters into a $100,000,000 notionamount 2 × 5 receive-fixeFRA this aanceset, aancesettle The appropriate scount rate for the FRA settlement cash flows is 1.5%. After 60 ys, 90-y Libor is 0.80%, 60-y Libor is 0.7%.If the FRA winitially price1.20%, the payment receiveto settle the 2 × 5 FRA will be:A.100,000B.99,626C.99,800B is correct.考点FRA settlement解析payment receive(1.2%−0.8%)×312×100,000,0001+1.50%×312=99,626.4payment\text{ }receive\frac{(1.2\%-0.8\%)\times\frac3{12}\times100,000,000}{1+1.50\%\times\frac3{12}}=99,626.4payment receive1+1.50%×123​(1.2%−0.8%)×123​×100,000,000​=99,626.4注题目中特别说明了折现率是1.5%，所以直接用1.5%折现，不用90天的LIBOR折现。这一题为什么是用1.2%减去0.8%?

2023-08-09 21:42 1 · 回答