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徐威廉 · 2024年04月13日

分子上面3/12是什么？

  1. FRM I
  2. Financial Markets And Products

NO.PZ2019052801000033

问题如下：

Consider the following 6×9 FRA, Assume the buyer of the FRA agrees to a contract rate of 6.35% on a notional amount of 10 million USD. Assume a 30/360 day count basis. What is the settlement amount of the seller if the settlement rate is 6.85%?

选项：

A.

-$12,290.

B.

$12,290.

C.

-$12,500.

D.

$12,500.

解释：

A is correct.

考点：Forward Rate Agreement

解析：

10m×(6.35%−6.85%)×3/121+6.85%×3/12=12,290\frac{10m\times(6.35\%-6.85\%)\times3/12}{1+6.85\%\times3/12}=12,290

这里要注意一个陷阱，因为题目最后问的是seller，所以应该是-12,290。

我在t=9时刻 （6.85%-6.35%）x 10million 就是这个时刻的现金流

再折算到t=6时刻 就是乘以1/(1+6.85%x3/12)这才settement 啊。答案分子上面乘以3/12是什么意思？三观给我惊掉了

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已采纳答案

李坏_品职助教 · 2024年04月14日

嗨，爱思考的PZer你好：


题目说 the following 6×9 FRA，意思是FRA的持续期是3个月。

题目给出的利率都是年化利率（12个月的），意思是假设1年的时间，才有6.38-6.85这么多的利息，但是FRA持续期只有3个月，所以要对分子的年化利率乘以3/12。



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