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lcrcp3 · 2023年10月21日

如题

  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。

这题的数给的有问题吧，公式应该是NA×[Lm-FRA0]×tm/（1+Dm×tm），怎么会用1.2%-0.8%，应该用0.8%-1.2%

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pzqa35 · 2023年10月23日

嗨，从没放弃的小努力你好：


本题的头寸是receive fixed，收到固定利率，所以相当于是short FRA，因此在settlement时，应该用的是FRA rate-MRR。这相当于我未来可以收到FRA的利率，但是这个利率在市场的价格是MRR，所以我的收益就是FRA-MRR，也就是1.2%-0.8%。

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