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不忘初心 · 2024年04月04日

两道题的区别

  1. FRM I
  2. Financial Markets And Products

NO.PZ2023091802000096

问题如下：

The four-year Eurodollar futures quote is 97.00. The volatility of the short-term interest rate (LIBOR) is 1.0%, expressed with continuous compounding. What is the equivalent forward rate, adjusted for convexity, given in ACT/360 day count with continuous compounding (i.e., the Eurodollar futures contract gives LIBOR in quarterly compounding ACT/360, so convert to continuous but a day count conversion is not needed)?

选项：

A.

2.90%

B.

2.95%

C.

2.99%

D.

3.00%

解释：


这道题跟section 19 1.1（如下截图）计算很相似，如何区分，两者的根本差别是什么？原理是什么？



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1 个答案

品职答疑小助手雍 · 2024年04月04日

同学你好，看样子这俩题好像有点练习，但实际完全不一样啊，这俩题考的是两个概念。

第一题着重的是欧洲美元的报价方式和如何转换，题目给的条件也都是forward rate adjusted for convexity这些知识点去的。

第二题就直接考EAR的概念了。

考试做题还是要揣度出题人意思的，给什么条件就冲哪方面算。

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