考点

NO.PZ2019010402000015

问题如下：

The company enters into a $100,000,000 notional amount 2 × 5 receive-fixed FRA that is advanced set, advanced settled. The appropriate discount rate for the FRA settlement cash flows is 1.5%. After 60 days, 90-day Libor is 0.80%, 60-day Libor is 0.7%.

If the FRA was initially priced at 1.20%, the payment received to settle the 2 × 5 FRA will be:

选项：

100,000

99,626

99,800

解释：

B is correct.

考点：FRA settlement

解析：

$payment\text{ }received=\frac{(1.2\%-0.8\%)\times\frac3{12}\times100,000,000}{1+1.50\%\times\frac3{12}}=99,626.4$

注：题目中特别说明了折现率是1.5%，所以直接用1.5%折现，不用90天的LIBOR折现。

这道题的题目是考察value？用画图法计算的时候为什么向上箭头是1.2-0.8？

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1 个答案

李坏_品职助教 · 2025年05月02日

嗨，爱思考的PZer你好：

这个不是计算value，计算的是FRA合约在到期日的支付金额。这个公司是receive-fixed，问你在FRA到期日的时候，公司可以收取多少金额?

虽然FRA的loan到期日是t=5，但由于FRA是提前结算，所以需要把结算金额从t=5折现到t=2，而公司是收取固定利率并且支付浮动利率，所以公司收到的净现金流 = (FRA固定利率 - 浮动利率)*本金 * 3/12 / (1+折现率1.5% * 3/12).

而固定利率指的是期初约定好的FRA固定利率1.20%，FRA的期限 = 5-2 = 3个月，所以浮动利率就是90天的libor利率0.8%，所以分子是1.2% - 0.8%

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就算太阳没有迎着我们而来，我们正在朝着它而去，加油！

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