NO.PZ202304100300001302
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.
$24,925.
$39,781.
解释:
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)
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) = $20,000/1.00275 = $19,945.15
Therefore, the bank will receive $19,945 (rounded)
as the receive-floating party.
老师,还是不太看得懂哪个数字对应FRA0 和FRA3?90/360分别是t=3~6吗还是6~9呢,一直搞不懂,一做就错。能不能麻烦老师顺便再总结一下FRA常考考法和公式呢,举例一下,谢谢!