NO.PZ2023041003000012
问题如下:
Nils sets out to evaluate
arbitrage opportunities using forward rate agreements (FRAs). Kozorez makes the
following comments to Nils regarding FRAs. He states, “An FRA has two
counterparties, a fixed rate receiver that is short Euribor and a floating rate
receiver that is long Euribor. The party that is long a 3 × 9 FRA must make a Euribor deposit in three months and earns the
Euribor rate for the subsequent six months.”
Kozorez’s
comments to Nils regarding FRAs are most likely:
选项:
A.incorrect regarding counterparties and incorrect regarding their
transactions.
correct regarding counterparties and incorrect regarding their
transactions.
correct regarding counterparties and correct regarding their
transactions.
解释:
Nils has accurately
described the short and long positions in an FRA. He has also correctly
described the timing of the transactions of a 3 × 9 FRA. The counterparties are
not required to exchange cash flows, however. Although an FRA can be done in
conjunction with a Euribor deposit, it is not a requirement.
答案不应该是B吗?为什么说C 正确
LONG LIBOR 不是担心利率上涨,应该是BORROW的一方,怎么会在3个月的时候存钱投资呢