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傅佳丽Diana · 2020年02月15日

问一道题:NO.PZ2019010402000013

问题如下:

A bank entered into a 3×6 FRA 30 days ago as a fixed receiver. The fixed rate is 1.25%, and notional principle is $100 million. The settlement terms are advanced set, advanced settle. The current Libor data is as follows:

The value of this 3×6 FRA is:

选项:

A.

11,873

B.

-11,873

C.

-12,579

解释:

B is correct.

考点:FRA的估值

解析:

画图:

valuelong=1000000001+1.05%×60360100000000×(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}}=11873

题中的银行是fixed receiver,即FRA的short方。上图是以Long方,即Borrower(floating receiver)为例,所以fixed receiver (short)的value=-long=-11873

为什么0-3的时间是60天,3-6的时间是90天

1 个答案

xiaowan_品职助教 · 2020年02月16日

同学你好,首先我们要明确FRA的报价规则,3 X 6 FRA 代表,从签订时刻算起3个月是FRA的settlement day,而银行作为fixed receiver,真正开始borrow的时间段是3月到6月,也就是90天。另外,这道题说 bank entered into a 3×6 FRA 30 days ago ,说明我们现在是站在1月份的时间点,参考答案中的图形,所以我们在求value的时候,要使用1月到3月间隔的60天的libor进行折现。同学可以再听一下老师在FRA Pricing and Valuation这一节的视频讲解加深印象~

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