可以快速判断正负号吗

NO.PZ2019010402000013

问题如下：

A bank entered into a 3×6 FRA 30 days ago as a fixed receiver. The fixed rate is 1.25%, and notional principle is $100 million. The settlement terms are advanced set, advanced settle. The current Libor data is as follows:

The value of this 3×6 FRA is:

选项：

11,873

-11,873

-12,579

解释：

B is correct.

考点：FRA的估值

解析：

画图：

$value_{long}=\frac{100000000}{1+1.05\%\times\frac{60}{360}}-\frac{100000000\times(1+1.25\%\times\frac{90}{360})}{1+1.2\%\times\frac{150}{360}}=11873$

题中的银行是fixed receiver，即FRA的short方。上图是以Long方，即Borrower(floating receiver）为例，所以fixed receiver (short)的value=-long=-11873

银行作为fixed receiver，FRA有1.25%，同时floating payer，Libor都是小于等于1.25%，难道这个value不应该是正的吗？

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1 个答案

李坏_品职助教 · 2024年08月01日

嗨，从没放弃的小努力你好：

不能这样判断。利率水平的大小关系，不能决定value的正负号。

value涉及到不同时刻的折现，折现率也是不一样的，而1.25%仅仅是分子的利率，不足以证明value的正负。

----------------------------------------------
努力的时光都是限量版，加油！

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NO.PZ2019010402000013问题如下 A bank entereinto a 3×6 FRA 30 ys ago a fixereceiver. The fixerate is 1.25%, annotionprinciple is $100 million. The settlement terms are aanceset, aancesettle. The current Libor ta is follows:The value of this 3×6 FRA is: A.11,873B.-11,873C.-12,579 B is correct.考点FRA的估值解析画图valuelong=1000000001+1.05%×60360−100000000×(1+1.25%×90360)1+1.2%×150360=11873value_{long}=\frac{100000000}{1+1.05\%\times\frac{60}{360}}-\frac{100000000\times(1+1.25\%\times\frac{90}{360})}{1+1.2\%\times\frac{150}{360}}=11873valuelong=1+1.05%×36060100000000−1+1.2%×360150100000000×(1+1.25%×36090)=11873题中的银行是fixereceiver，即FRA的short方。上图是以Long方，即Borrower(floating receiver）为例，所以fixereceiver (short)的value=-long=-11873 怎么样区分用哪个折现

2024-07-24 06:49 1 · 回答

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可以快速判断正负号吗

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