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Roxanne_104 · 2020年06月21日

问一道题:NO.PZ2016082402000057 [ FRM I ]

问题如下:

A long position in a 2 x 5 FRA is equivalent to the following positions in the spot market:

选项:

A.

Borrowing in two months to finance a five-month investment

B.

Borrowing in five months to finance a two-month investment

C.

Borrowing half a loan amount at two months and the remainder at five months

D.

Borrowing in two months to finance a three-month investment

解释:

ANSWER: B

An FRA defined as t1×t2t_1\times t_2 involves a forward rate starting at time t1t_1 and ending at time t2t_2 The buyer of this FRA locks in a borrowing rate for months 3 to 5. This is equivalent to borrowing for five months and reinvesting the funds for the first two months.

没明白,为啥借了5个月,前2个月要把钱放出去
3 个答案
已采纳答案

品职答疑小助手雍 · 2020年06月22日

正是因为投资者需要的是2个月之后为期3个的借款,题目问的是这等价于在现货市场上的什么情况。

投资者可以现在先借5个月的借款,但实际上2个月之后才需要,所以在头两个月的时候可以把这笔钱先投资出去

Drink H · 2020年07月21日

这题spot market是一个关键点吗?D选项错在哪里?

品职答疑小助手雍 · 2022年01月22日

不是,D的意思是现在这个时点借2个月的钱用于投资3个月。

品职答疑小助手雍 · 2020年07月22日

spot market是一个关键点,意味着选项里的两笔交易都是当前时点做的,所以D选项的意思就是借2个月投3个月,所以错。

yunli · 2022年01月22日

D选项的意思不是在两个月后借期限为3个月的贷款的意思吗

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NO.PZ2016082402000057 问题如下 A long position in a 2 x 5 FRA is equivalent to the following positions in the spot market: Borrowing in two months to finana five-month investment Borrowing in five months to finana two-month investment Borrowing half a loamount two months anthe remainr five months Borrowing in two months to finana three-month investment ANSWER: BFRA finet1×t2t_1\times t_2t1​×t2​ involves a forwarrate starting time t1t_1t1​ anenng time t2t_2t2​ The buyer of this FRA locks in a borrowing rate for months 3 to 5. This is equivalent to borrowing for five months anreinvesting the fun for the first two months. 画红线那句话根本没看懂,为什么borrow是5个月 ,loan实际只有3个月啊,还有投资是什么意思,前面的2个月是投资???

2023-12-13 11:22 2 · 回答

NO.PZ2016082402000057问题如下 A long position in a 2 x 5 FRA is equivalent to the following positions in the spot market: Borrowing in two months to finana five-month investment Borrowing in five months to finana two-month investment Borrowing half a loamount two months anthe remainr five months Borrowing in two months to finana three-month investment ANSWER: BFRA finet1×t2t_1\times t_2t1​×t2​ involves a forwarrate starting time t1t_1t1​ anenng time t2t_2t2​ The buyer of this FRA locks in a borrowing rate for months 3 to 5. This is equivalent to borrowing for five months anreinvesting the fun for the first two months.改成借了5个月前,只投资后三个月的意思对吗?

2022-08-02 07:57 2 · 回答

NO.PZ2016082402000057 A long position in a 2 x 5 FRA is equivalent to the following positions in the spot market: Borrowing in two months to finana five-month investment Borrowing in five months to finana two-month investment Borrowing half a loamount two months anthe remainr five months Borrowing in two months to finana three-month investment ANSWER: B FRA finet1×t2t_1\times t_2t1​×t2​ involves a forwarrate starting time t1t_1t1​ anenng time t2t_2t2​ The buyer of this FRA locks in a borrowing rate for months 3 to 5. This is equivalent to borrowing for five months anreinvesting the fun for the first two months. long方在期初签订了2个月的FRA锁定未来的借款利率,这里投资时间是2个月我搞懂了; 在2个月后FRA到期,如果利率上涨则可以按照当初约定的利率来贷款3个月,那借入时间不是从3月初开始算吗?一共三个月呀

2022-03-01 07:23 1 · 回答

NO.PZ2016082402000057 A long position in a 2 x 5 FRA is equivalent to the following positions in the spot market: Borrowing in two months to finana five-month investment Borrowing in five months to finana two-month investment Borrowing half a loamount two months anthe remainr five months Borrowing in two months to finana three-month investment ANSWER: B FRA finet1×t2t_1\times t_2t1​×t2​ involves a forwarrate starting time t1t_1t1​ anenng time t2t_2t2​ The buyer of this FRA locks in a borrowing rate for months 3 to 5. This is equivalent to borrowing for five months anreinvesting the fun for the first two months. borrow in 5 months意思是在五个月内借钱,老师可以google翻译一下。 borrow for 5 months 借了5个月的钱。 这道题站在0时刻应该是现在签了一个2个月后生效的合约,合约期限为3个月的贷款合约。3、4、5月,应该是三个月吧。

2022-02-25 17:11 1 · 回答

NO.PZ2016082402000057 Borrowing in five months to finana two-month investment Borrowing half a loamount two months anthe remainr five months Borrowing in two months to finana three-month investment ANSWER: B FRA finet1×t2t_1\times t_2t1​×t2​ involves a forwarrate starting time t1t_1t1​ anenng time t2t_2t2​ The buyer of this FRA locks in a borrowing rate for months 3 to 5. This is equivalent to borrowing for five months anreinvesting the fun for the first two months.你好!我有点疑问 ”borrow in 5 five months”这句话的意思是在5个月后借款,而不是说借期限为5个月的贷款;而答案解析里写的是”borrow for five months” 这两句的含义是不一样的。所以很想问里到底想表达那一种意思。请问这是原版书的题目吗。我还是觉得表达没有问题诶,这不就是forwar身的含义吗,等同于在两个月后以(两月后现货市场利率- Forwarrate)借入期限为3个月的贷款。如果是按照您的,在0时刻以forwarrate借入5个月的资金,那么这个交易的价值在2个月时的value为(1+forwarrate*5/12)/(1+两个月后现货市场利率/4);用这笔贷款在0时刻以两个月后现货市场利率贷出2个月,则这个交易在两个月时的value为(1+两个月后现货市场利率/6)。显然这两个金额相加并不等与FRA在2个月时的价值(即1+(两个月后现货市场利率- forwarrate)/4 / (1+两个月后现货市场利率/4))。不知是否算错,对答案还是有疑问。望解答,谢谢!

2022-01-22 11:52 1 · 回答