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dejiazheng · 2025年05月05日

除了错在由3个月的MRR外，红框部分的表述是否正确？

  1. CFA II
  2. Derivative

NO.PZ2023020101000009

问题如下：

Sheroda asks Parisi to help her with fixed-income derivatives. First, she wants to better understand forward rate agreements (FRAs). Parisi points out the following attributes of an FRA:

Parisi is most likely correct regarding which attribute of an FRA?

选项：

A.

Attribute 3

B.

Attribute 2

C.

Attribute 1

解释：

Parisi is correct with regard to Attribute 2. Being long the FRA means that you gain when MRR rises. The fixed receiver counterparty receives an interest payment based on a fixed rate and makes an interest payment based on a floating rate. The floating receiver counterparty receives an interest payment based on a floating rate and makes an interest payment based on a fixed rate.

个人理解：结合advanced setttled，FRA的的利差发生在t=9，所以是正确的？



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1 个答案

李坏_品职助教 · 2025年05月05日

嗨，从没放弃的小努力你好：


不对，FRA的是在t=6就到期，到期日也立刻进行提前结算，不是在t=9才到期的。


正是因为提前到期 提前结算，所以计算FRA的结算金额才需要把现金流从t=9折现到t=6.

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