问题如下图：
选项：
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解释：这道题题目说，30天前进入了这个FRA的合约，那么到底是求30天这个时点的value还是求60天这个时点的value？30天前不是指合约到期前的30天前吗？就是说图是这样的：
NO.PZ2019010402000013 问题如下 A bank entereinto a 3×6 FRA 30 ys ago a fixereceiver. The fixerate is 1.25%, annotionprinciple is $100 million. The settlement terms are aanceset, aancesettle. The current Libor ta is follows:The value of this 3×6 FRA is: A.11,873 B.-11,873 C.-12,579 B is correct.考点FRA的估值解析画图valuelong=1000000001+1.05%×60360−100000000×(1+1.25%×90360)1+1.2%×150360=11873value_{long}=\frac{100000000}{1+1.05\%\times\frac{60}{360}}-\frac{100000000\times(1+1.25\%\times\frac{90}{360})}{1+1.2\%\times\frac{150}{360}}=11873valuelong=1+1.05%×36060100000000−1+1.2%×360150100000000×(1+1.25%×36090)=11873题中的银行是fixereceiver，即FRA的short方。上图是以Long方，即Borrower(floating receiver）为例，所以fixereceiver (short)的value=-long=-11873 银行作为fixereceiver，FRA有1.25%，同时floating payer，Libor都是小于等于1.25%，难道这个value不应该是正的吗？
NO.PZ2019010402000013问题如下 A bank entereinto a 3×6 FRA 30 ys ago a fixereceiver. The fixerate is 1.25%, annotionprinciple is $100 million. The settlement terms are aanceset, aancesettle. The current Libor ta is follows:The value of this 3×6 FRA is: A.11,873B.-11,873C.-12,579 B is correct.考点FRA的估值解析画图valuelong=1000000001+1.05%×60360−100000000×(1+1.25%×90360)1+1.2%×150360=11873value_{long}=\frac{100000000}{1+1.05\%\times\frac{60}{360}}-\frac{100000000\times(1+1.25\%\times\frac{90}{360})}{1+1.2\%\times\frac{150}{360}}=11873valuelong=1+1.05%×36060100000000−1+1.2%×360150100000000×(1+1.25%×36090)=11873题中的银行是fixereceiver，即FRA的short方。上图是以Long方，即Borrower(floating receiver）为例，所以fixereceiver (short)的value=-long=-11873 怎么样区分用哪个折现
NO.PZ2019010402000013 问题如下 A bank entereinto a 3×6 FRA 30 ys ago a fixereceiver. The fixerate is 1.25%, annotionprinciple is $100 million. The settlement terms are aanceset, aancesettle. The current Libor ta is follows:The value of this 3×6 FRA is: A.11,873 B.-11,873 C.-12,579 B is correct.考点FRA的估值解析画图valuelong=1000000001+1.05%×60360−100000000×(1+1.25%×90360)1+1.2%×150360=11873value_{long}=\frac{100000000}{1+1.05\%\times\frac{60}{360}}-\frac{100000000\times(1+1.25\%\times\frac{90}{360})}{1+1.2\%\times\frac{150}{360}}=11873valuelong=1+1.05%×36060100000000−1+1.2%×360150100000000×(1+1.25%×36090)=11873题中的银行是fixereceiver，即FRA的short方。上图是以Long方，即Borrower(floating receiver）为例，所以fixereceiver (short)的value=-long=-11873 如题
NO.PZ2019010402000013 问题如下 A bank entereinto a 3×6 FRA 30 ys ago a fixereceiver. The fixerate is 1.25%, annotionprinciple is $100 million. The settlement terms are aanceset, aancesettle. The current Libor ta is follows:The value of this 3×6 FRA is: A.11,873 B.-11,873 C.-12,579 B is correct.考点FRA的估值解析画图valuelong=1000000001+1.05%×60360−100000000×(1+1.25%×90360)1+1.2%×150360=11873value_{long}=\frac{100000000}{1+1.05\%\times\frac{60}{360}}-\frac{100000000\times(1+1.25\%\times\frac{90}{360})}{1+1.2\%\times\frac{150}{360}}=11873valuelong=1+1.05%×36060100000000−1+1.2%×360150100000000×(1+1.25%×36090)=11873题中的银行是fixereceiver，即FRA的short方。上图是以Long方，即Borrower(floating receiver）为例，所以fixereceiver (short)的value=-long=-11873 参考了下其他同学提的问题，看到有老师回答说本题不适用重新定价法，原因是什么？（基础班讲义P40的例题，老李老师也是用的重新定价法讲的）
NO.PZ2019010402000013问题如下 A bank entereinto a 3×6 FRA 30 ys ago a fixereceiver. The fixerate is 1.25%, annotionprinciple is $100 million. The settlement terms are aanceset, aancesettle. The current Libor ta is follows:The value of this 3×6 FRA is: A.11,873B.-11,873C.-12,579 B is correct.考点FRA的估值解析画图valuelong=1000000001+1.05%×60360−100000000×(1+1.25%×90360)1+1.2%×150360=11873value_{long}=\frac{100000000}{1+1.05\%\times\frac{60}{360}}-\frac{100000000\times(1+1.25\%\times\frac{90}{360})}{1+1.2\%\times\frac{150}{360}}=11873valuelong=1+1.05%×36060100000000−1+1.2%×360150100000000×(1+1.25%×36090)=11873题中的银行是fixereceiver，即FRA的short方。上图是以Long方，即Borrower(floating receiver）为例，所以fixereceiver (short)的value=-long=-11873 老师，您好，这道题可以用重新定价法吗？答案不一致。
