NO.PZ2023041003000014
问题如下：
Solomon forecasts the three-month Libor will
exceed 0.85% in six months and is considering using options to reduce the risk
of rising rates. He asks Lee to value an interest rate call with a strike price
of 0.85%. The current three-month Libor is 0.60%, and an FRA for a three-month
Libor loan beginning in six months is currently 0.75%.
The valuation inputs used by Lee to price a call
reflecting Solomon’s interest rate views should include an underlying FRA rate
of:
选项：
A.
0.60% with six months to expiration.
B.
0.75% with nine months to expiration.
C.
0.75% with six months to expiration.
解释：
Solomon’s forecast is for the three-month Libor
to exceed 0.85% in six months. The correct option valuation inputs use the
six-month FRA rate as the underlying, which currently has a rate of 0.75%.
这题什么意思？完全没看懂，用的什么知识点？
