60-day Libor is 0.7%.是 120天的利率？

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。

这个干扰条件是什么？

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1 个答案

李坏_品职助教 · 2025年06月17日

嗨，从没放弃的小努力你好：

60-day Libor is 0.7%.

这个指的是60天之后（就是题目说的after 60 days）的60天期限的利率，这指的是t=2这个时刻到 t=4这个时刻，这段时间内的libor利率。对于本题没什么用。

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