NO.PZ2023091802000087
问题如下：
ABC, Inc., entered a forward rate agreement (FRA) to receive a rate of 3.75%with continuous compounding on a principal of USD 1 million between the end of year 1 and the end of year 2. The zero rates are 3.25% and 3.50%for one and two years. What is the value of the FRA when the deal is just entered?
选项：
A.
USD 35,629
B.
USD 34,965
C.
USD 664
D.
USD 0
解释：
The market – implied forward rate is given by or F1,2 = 2 × 3.50 – 1 ×
3.25 = 3.75%. Given that this is exactly equal to the quoted rate, the value
must be zero. If instead this rate was 3.50%, for example, the value would be:
or F12
V = $1,000,000 × (3.75% – 3.50%) × (2 – 1) × e(-3.5%
× 2) = 2,331
老师好，这道题扩展的求value
为什么不是用单利折现？而是用连续复利？
不管咋样，求得不是FRA的value？那不就应该用单利折线？
