薛真 · 2020年03月15日
问题如下：
Consider the following 6×9 FRA, Assume the buyer of the FRA agrees to a contract rate of 6.35% on a notional amount of 10 million USD. Assume a 30/360 day count basis. What is the settlement amount of the seller if the settlement rate is 6.85%?
选项：
A.-$12,290.
B.$12,290.
C.-$12,500.
D.$12,500.
解释：
A is correct.
考点：Forward Rate Agreement
解析：
这里要注意一个陷阱，因为题目最后问的是seller，所以应该是-12,290。
这块用单利折现，为什么？
NO.PZ2019052801000033问题如下Consir the following 6×9 FRAssume the buyer of the FRA agrees to a contrarate of 6.35% on a notionamount of 10 million US Assume a 30/360 y count basis. Whis the settlement amount of the seller if the settlement rate is 6.85%?A.-$12,290.B.$12,290.C.-$12,500.$12,500.A is correct. 考点ForwarRate Agreement解析10m×(6.35%−6.85%)×3/121+6.85%×3/12=12,290\frac{10m\times(6.35\%-6.85\%)\times3/12}{1+6.85\%\times3/12}=12,2901+6.85%×3/1210m×(6.35%−6.85%)×3/12=12,290这里要注意一个陷阱，因为题目最后问的是seller，所以应该是-12,290。老师好，buyer就是lenr，交割日收到一个利率，seller就是borrower，交割日支付一个利率。合约约定的是6.35%，然后又有一个settlement rate 6.85%我就有点儿晕了，6.85%是交割利率，那哪个是市场利率？我以为6.35是约定利率，6.85是市场利率，那么对于seller来说，借款执行6.35%，市场是-6.85%，所以我用（-6.35+6.85），seller赚0.5%。
NO.PZ2019052801000033 问题如下 Consir the following 6×9 FRAssume the buyer of the FRA agrees to a contrarate of 6.35% on a notionamount of 10 million US Assume a 30/360 y count basis. Whis the settlement amount of the seller if the settlement rate is 6.85%? A.-$12,290. B.$12,290. C.-$12,500. $12,500. A is correct. 考点ForwarRate Agreement解析10m×(6.35%−6.85%)×3/121+6.85%×3/12=12,290\frac{10m\times(6.35\%-6.85\%)\times3/12}{1+6.85\%\times3/12}=12,2901+6.85%×3/1210m×(6.35%−6.85%)×3/12=12,290这里要注意一个陷阱，因为题目最后问的是seller，所以应该是-12,290。 什么时候用(1+r)^t,什么时候用(1+r*t)
NO.PZ2019052801000033 问题如下 Consir the following 6×9 FRAssume the buyer of the FRA agrees to a contrarate of 6.35% on a notionamount of 10 million US Assume a 30/360 y count basis. Whis the settlement amount of the seller if the settlement rate is 6.85%? A.-$12,290. B.$12,290. C.-$12,500. $12,500. A is correct. 考点ForwarRate Agreement解析10m×(6.35%−6.85%)×3/121+6.85%×3/12=12,290\frac{10m\times(6.35\%-6.85\%)\times3/12}{1+6.85\%\times3/12}=12,2901+6.85%×3/1210m×(6.35%−6.85%)×3/12=12,290这里要注意一个陷阱，因为题目最后问的是seller，所以应该是-12,290。 我在t=9时刻 （6.85%-6.35%）x 10million 就是这个时刻的现金流再折算到t=6时刻 就是乘以1/(1+6.85%x3/12)这才settement 啊。答案分子上面乘以3/12是什么意思？三观给我惊掉了
NO.PZ2019052801000033问题如下 Consir the following 6×9 FRAssume the buyer of the FRA agrees to a contrarate of 6.35% on a notionamount of 10 million US Assume a 30/360 y count basis. Whis the settlement amount of the seller if the settlement rate is 6.85%?A.-$12,290.B.$12,290.C.-$12,500.$12,500.A is correct. 考点ForwarRate Agreement解析10m×(6.35%−6.85%)×3/121+6.85%×3/12=12,290\frac{10m\times(6.35\%-6.85\%)\times3/12}{1+6.85\%\times3/12}=12,2901+6.85%×3/1210m×(6.35%−6.85%)×3/12=12,290这里要注意一个陷阱，因为题目最后问的是seller，所以应该是-12,290。卖家亏了利率我能理解，30/360这个啥意思，如何判断季度1/4的呢
NO.PZ2019052801000033 问题如下 Consir the following 6×9 FRAssume the buyer of the FRA agrees to a contrarate of 6.35% on a notionamount of 10 million US Assume a 30/360 y count basis. Whis the settlement amount of the seller if the settlement rate is 6.85%? A.-$12,290. B.$12,290. C.-$12,500. $12,500. A is correct. 考点ForwarRate Agreement解析10m×(6.35%−6.85%)×3/121+6.85%×3/12=12,290\frac{10m\times(6.35\%-6.85\%)\times3/12}{1+6.85\%\times3/12}=12,2901+6.85%×3/1210m×(6.35%−6.85%)×3/12=12,290这里要注意一个陷阱，因为题目最后问的是seller，所以应该是-12,290。 请问 Assume a 30/360 y count basis.是什么意思啊，题目给的6X9FRA，一般都不会给出单位吗？
