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Alice · 2021年04月27日

可以麻烦用画图法做一下这道题吗？

  1. CFA II
  2. Derivative

NO.PZ2019010402000015

问题如下：

The company enters into a $100,000,000 notional amount 2 × 5 receive-fixed FRA that is advanced set, advanced settled. The appropriate discount rate for the FRA settlement cash flows is 1.5%. After 60 days, 90-day Libor is 0.80%, 60-day Libor is 0.7%.

If the FRA was initially priced at 1.20%, the payment received to settle the 2 × 5 FRA will be:

选项：

A.

100,000

B.

99,626

C.

99,800

解释：

B is correct.

考点：FRA settlement

解析：

payment received=(1.2%−0.8%)×312×100,000,0001+1.50%×312=99,626.4payment\text{ }received=\frac{(1.2\%-0.8\%)\times\frac3{12}\times100,000,000}{1+1.50\%\times\frac3{12}}=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。

我算出来在5时间点 收到100(1+1.2%*(1/4)) 然后用1.5%折现到2时间点 （除以 1+1.5%*90/360) 但这样好像是错的 麻烦老师能具体画下图和步骤吗？谢谢

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1 个答案

WallE_品职答疑助手 · 2021年04月28日

嗨，努力学习的PZer你好：


这道题更倾向于用FRA计算（下图中方法2），因为两种方法折现率在这里不一样。画图法（下图方法1）

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努力的时光都是限量版，加油！

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