问题如下图：
选项：
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解释：
这里为什么要1.2%-0.8%，而不是直接用1.2%呢。看之前的li l例题，不都是直接用FRA rate的收益+本金，直接折现吗？
包包_品职助教 · 2019年04月06日
同学你好，这道题是说settleFRA公司收到的金额，settlement是发生在FRA到期的时刻。在2时刻，就是FRA到期的时候，求交割，我们就用（FRA-libor）乘以本金再折现。相当于我们签订了FRA，我们收到FRA乘以本金这么多利息，不签订FRA我们收到libor乘以本金这么多利息，那么签订FRA交割的金额就是两者相减再折现（就相当于算签订FRA带给我们的好处）。原版书也给出了计算公式。Settlement amount at h for receive-floating: NA{[Lh(m)−FRA(0,h,m)]tm}/[1+Dh(m)tm]
NO.PZ2019010402000015问题如下The company enters into a $100,000,000 notionamount 2 × 5 receive-fixeFRA this aanceset, aancesettle The appropriate scount rate for the FRA settlement cash flows is 1.5%. After 60 ys, 90-y Libor is 0.80%, 60-y Libor is 0.7%.If the FRA winitially price1.20%, the payment receiveto settle the 2 × 5 FRA will be:A.100,000B.99,626C.99,800B is correct.考点FRA settlement解析payment receive(1.2%−0.8%)×312×100,000,0001+1.50%×312=99,626.4payment\text{ }receive\frac{(1.2\%-0.8\%)\times\frac3{12}\times100,000,000}{1+1.50\%\times\frac3{12}}=99,626.4payment receive1+1.50%×123(1.2%−0.8%)×123×100,000,000=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。没有其他补充了，谢谢
NO.PZ2019010402000015问题如下The company enters into a $100,000,000 notionamount 2 × 5 receive-fixeFRA this aanceset, aancesettle The appropriate scount rate for the FRA settlement cash flows is 1.5%. After 60 ys, 90-y Libor is 0.80%, 60-y Libor is 0.7%.If the FRA winitially price1.20%, the payment receiveto settle the 2 × 5 FRA will be:A.100,000B.99,626C.99,800B is correct.考点FRA settlement解析payment receive(1.2%−0.8%)×312×100,000,0001+1.50%×312=99,626.4payment\text{ }receive\frac{(1.2\%-0.8\%)\times\frac3{12}\times100,000,000}{1+1.50\%\times\frac3{12}}=99,626.4payment receive1+1.50%×123(1.2%−0.8%)×123×100,000,000=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。这题的数给的有问题吧，公式应该是NA×[Lm-FRA0]×tm/（1+×tm），怎么会用1.2%-0.8%，应该用0.8%-1.2%
NO.PZ2019010402000015问题如下The company enters into a $100,000,000 notionamount 2 × 5 receive-fixeFRA this aanceset, aancesettle The appropriate scount rate for the FRA settlement cash flows is 1.5%. After 60 ys, 90-y Libor is 0.80%, 60-y Libor is 0.7%.If the FRA winitially price1.20%, the payment receiveto settle the 2 × 5 FRA will be:A.100,000B.99,626C.99,800B is correct.考点FRA settlement解析payment receive(1.2%−0.8%)×312×100,000,0001+1.50%×312=99,626.4payment\text{ }receive\frac{(1.2\%-0.8\%)\times\frac3{12}\times100,000,000}{1+1.50\%\times\frac3{12}}=99,626.4payment receive1+1.50%×123(1.2%−0.8%)×123×100,000,000=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。请问这题的头寸怎么看？根据FRA settlement的公式 不是应该当前的利率减FRA么？答案里面用FRA-当前利率
NO.PZ2019010402000015 问题如下 The company enters into a $100,000,000 notionamount 2 × 5 receive-fixeFRA this aanceset, aancesettle The appropriate scount rate for the FRA settlement cash flows is 1.5%. After 60 ys, 90-y Libor is 0.80%, 60-y Libor is 0.7%.If the FRA winitially price1.20%, the payment receiveto settle the 2 × 5 FRA will be: A.100,000 B.99,626 C.99,800 B is correct.考点FRA settlement解析payment receive(1.2%−0.8%)×312×100,000,0001+1.50%×312=99,626.4payment\text{ }receive\frac{(1.2\%-0.8\%)\times\frac3{12}\times100,000,000}{1+1.50\%\times\frac3{12}}=99,626.4payment receive1+1.50%×123(1.2%−0.8%)×123×100,000,000=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。 因为比较熟悉小t时刻求value时用重新定价法的，但是不太熟悉，settlement的折现，所以想confirm一下，Payment receive是折到贷款合约开始的时刻（即本题t=2时间点）？所以分母折现应该用90/360对吗？
NO.PZ2019010402000015问题如下 The company enters into a $100,000,000 notionamount 2 × 5 receive-fixeFRA this aanceset, aancesettle The appropriate scount rate for the FRA settlement cash flows is 1.5%. After 60 ys, 90-y Libor is 0.80%, 60-y Libor is 0.7%.If the FRA winitially price1.20%, the payment receiveto settle the 2 × 5 FRA will be:A.100,000B.99,626C.99,800B is correct.考点FRA settlement解析payment receive(1.2%−0.8%)×312×100,000,0001+1.50%×312=99,626.4payment\text{ }receive\frac{(1.2\%-0.8\%)\times\frac3{12}\times100,000,000}{1+1.50\%\times\frac3{12}}=99,626.4payment receive1+1.50%×123(1.2%−0.8%)×123×100,000,000=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。这一题为什么是用1.2%减去0.8%?