NO.PZ202403050900000202
问题如下：
Gutiérrez’s fixed-rate calculation for the forward rate agreement should be closest to:选项：
A.3.73%. B.3.88%. C.5.59%.解释：
A Correct. The 18-month fixed rate for a 6 × 24 FRA is calculated as
where L stands for MRR rates, h is the number of days before the FRA matures, m is the number of days to maturity of the MRR rate when the FRA matures, T = h + m, and tm is m divided by the number of days in a year. In this case
题目是要求 6 × 24 FRA的定价：
(1+0.021x180/360)(1+FRAx540/360)=(1+0.0335x720/360)，反解出FRA=3.73%
我能用%计算出答案
