Horizon425 · 2024年01月30日
NO.PZ2020021204000020
问题如下：
In an FRA, an annualized rate of 3% will be received and six-month LIBOR will be paid on a principal of USD 5,000,000 for a six-month period starting in 18 months. If the annualized six-month forward rate in 18 months proves to be 3.5%, what is the settlement on the FRA? When is it made?
选项：
解释：
The USD settlement in 18 months is
((0.03 - 0.035) X 0.5 X 5,000,000)/(1 + 0.035 /2 )= -12285
It is settled in 18 months.
根据题意，如何确定loan的时间是6个月呢？starting in 18month 这个如何理解呢？
NO.PZ2020021204000020 问题如下 In FRannualizerate of 3% will receiveansix-month LIBOR will paion a principof US5,000,000 for a six-month periostarting in 18 months. If the annualizesix-month forwarrate in 18 months proves to 3.5%, whis the settlement on the FRWhen is it ma? The USsettlement in 18 months is((0.03 - 0.035) X 0.5 X 5,000,000)/(1 + 0.035 /2 )= -12285It is settlein 18 months. 6 month libor is pai什么不是borrow那一方，而变成了len那一方，记得老师说receive rate是len一方
NO.PZ2020021204000020 问题如下 In FRannualizerate of 3% will receiveansix-month LIBOR will paion a principof US5,000,000 for a six-month periostarting in 18 months. If the annualizesix-month forwarrate in 18 months proves to 3.5%, whis the settlement on the FRWhen is it ma? The USsettlement in 18 months is((0.03 - 0.035) X 0.5 X 5,000,000)/(1 + 0.035 /2 )= -12285It is settlein 18 months. No.PZ2020021204000020 (问答题)来源: 原版书In FRannualizerate of 3% will receiveansix-month LIBOR will paion a principof US5,000,000 for a six-month periostarting in 18 months. If the annualizesix-month forwarrate in 18 months proves to 3.5%, whis the settlement on the FRWhen is it ma?解析The USsettlement in 18 months is((0.03 - 0.035) X 0.5 X 5,000,000)/(1 + 0.035 /2 )= -12285It is settlein 18 months.问题1、annualizerate of 3% will receive—这个3%是不是指FRA的利率，表示我是个short position？2、six-month LIBOR——这个是多少？题目中并没有给出3、If the annualizesix-month forwarrate in 18 months proves to 3.5%——这句话怎么又出来一个FRA rate=3.5%？怎么理解？4、我理解题目中的FRA是18*24FRA，这个是正确的吗？
NO.PZ2020021204000020 问题如下 In FRannualizerate of 3% will receiveansix-month LIBOR will paion a principof US5,000,000 for a six-month periostarting in 18 months. If the annualizesix-month forwarrate in 18 months proves to 3.5%, whis the settlement on the FRWhen is it ma? The USsettlement in 18 months is((0.03 - 0.035) X 0.5 X 5,000,000)/(1 + 0.035 /2 )= -12285It is settlein 18 months. 按照讲义笔记，做差为啥不是3.5-3这里是6%-5%啊
NO.PZ2020021204000020 你好，没看懂题意，也没看懂为什么是第18个月交割，请帮我解析一下
