FRA

NO.PZ2016082402000057

问题如下：

A long position in a 2 x 5 FRA is equivalent to the following positions in the spot market:

选项：

Borrowing in two months to finance a five-month investment

Borrowing in five months to finance a two-month investment

Borrowing half a loan amount at two months and the remainder at five months

Borrowing in two months to finance a three-month investment

解释：

ANSWER: B

An FRA defined as $t_1\times t_2$ involves a forward rate starting at time $t_1$ and ending at time $t_2$ The buyer of this FRA locks in a borrowing rate for months 3 to 5. This is equivalent to borrowing for five months and reinvesting the funds for the first two months.

2-5的FRA不是因为第二个月之后要借钱担心利率上涨才提前签一个远期吗，如果一开始就借5个月为什么要签一个合约呢，利率不是已经确定了吗

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1 个答案

李坏_品职助教 · 2025年06月03日

嗨，努力学习的PZer你好：

简单来说，FRA这个交易说白了前两个月是没有交易的，FRA合约本身cover的借款期限是第三个月到第五个月（就是后面的3个月）。

所以答案的意思就是long FRA的人，等价于，先借入5个月的钱，但是也同时投资2个月，那么前俩月的借钱与投资相互抵消了，只剩下后面3个月的借钱的时间。

正是因为期初已经确定了借款利率，如果后面三个月市场利率上涨，我依然是按照确定好的较低利率还钱，我不就是占便宜了吗。 long FRA也是在市场利率上涨的情况下占便宜，所以是等价的。

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NO.PZ2016082402000057 问题如下 A long position in a 2 x 5 FRA is equivalent to the following positions in the spot market: Borrowing in two months to finana five-month investment Borrowing in five months to finana two-month investment Borrowing half a loamount two months anthe remainr five months Borrowing in two months to finana three-month investment ANSWER: BFRA finet1×t2t_1\times t_2t1×t2 involves a forwarrate starting time t1t_1t1 anenng time t2t_2t2 The buyer of this FRA locks in a borrowing rate for months 3 to 5. This is equivalent to borrowing for five months anreinvesting the fun for the first two months. 画红线那句话根本没看懂，为什么borrow是5个月，loan实际只有3个月啊，还有投资是什么意思，前面的2个月是投资？？？

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2022-03-01 07:23 1 · 回答

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