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周梅 · 2024年09月06日

derivative

  1. CFA II
  2. Derivative

* 问题详情，请 查看题干

NO.PZ202108100100000209

问题如下：

Based on Exhibit 6 and the three-month US dollar Libor at expiration, the payment amount that the bank will receive to settle the 6 x 9 FRA is closest to:

选项：

A.

$19,945.

B.

$24,925.

C.

$39,781.

解释：

A is correct.

Given a three-month US dollar Libor of 1.10% at expiration, the settlement amount for the bank as the pay-fixed (receive-floating) party is calculated as

Settlement amount pay-fixed (receive floating)

= NA × {[Lm – FRA0 ]tm }/[1 + Dm tm ]}.

Settlement amount pay-fixed (receive floating)

=$20,000,000 × {[0.011 – 0.0070] × (90/360)]/[1 + 0.011(90/360)]}.

Settlement amount pay-fixed (receive floating)

=$20,000,000 × (0.001)/1.00275 = $19,945.15.

中文解析：

本题考察的是在FRA到期时刻求value。仍然使用画图法。

向上箭头为：NP

向下箭头为：NP×[1+0.7%×90360]1+1.1%×90360\frac{NP\times\left[1+0.7\%\times{\displaystyle\frac{90}{360}}\right]}{1+1.1\%\times{\displaystyle\frac{90}{360}}}

令向上箭头-向下箭头得到此时的value，其中NP=20,000,000

分母时间是不是错了，是不是不应该是180天


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1 个答案

李坏_品职助教 · 2024年09月06日

嗨，从没放弃的小努力你好：


根据题目条件，这个FRA合约是90天之前签订的：

也就是现在已经是t=90天的时刻了，而FRA到期日是t=180天，所以从现在到FRA到期日之间还剩90天的时间。所以是90/360。

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NO.PZ202108100100000209问题如下 Baseon Exhibit 6 anthe three-month US llLibor expiration, the payment amount ththe bank will receive to settle the 6 x 9 FRA is closest to: A.$19,945.B.$24,925.C.$39,781. A is correct. Given a three-month US llLibor of 1.10% expiration, the settlement amount for the bank the pay-fixe(receive-floating) party is calculateasSettlement amount pay-fixe(receive floating)= NA × {[Lm – FR]tm }/[1 + tm ]}.Settlement amount pay-fixe(receive floating)=$20,000,000 × {[0.011 – 0.0070] × (90/360)]/[1 + 0.011(90/360)]}. Settlement amount pay-fixe(receive floating)=$20,000,000 × (0.001)/1.00275 = $19,945.15. 中文解析本题考察的是在FRA到期时刻求value。仍然使用画图法。向上箭头为NP向下箭头为NP×[1+0.7%×90360]1+1.1%×90360\frac{NP\times\left[1+0.7\%\times{\splaystyle\frac{90}{360}}\right]}{1+1.1\%\times{\splaystyle\frac{90}{360}}}1+1.1%×36090​NP×[1+0.7%×36090​]​令向上箭头-向下箭头得到此时的value，其中NP=20,000,000 向上不是我们pay的吗，向下不是我们receive的吗，我算receive的比pay的少，为什么不是负数

2024-10-06 08:58 1 · 回答

NO.PZ202108100100000209 three-month US llLibor is 1.10% anthe six-month US llLibor is 1.20% 为什么不用6个月的libor而是用3个月的减去0.7%？ 还有既然是receive fix是不是用FRA0-LIbor？？？？？？？为什么是libor-FRA

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