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ZAA · 2021年05月21日

我不大理解这道题目

  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。

题目问的问题是PAYMENT RECEIVED是指的是向上箭头收到还是支出

再一个我看了题目之前的问题答案，说不能用画图方法，为什么呢

我不懂这道题目的思路能讲解一下吗

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1 个答案

WallE_品职答疑助手 · 2021年05月21日

嗨，努力学习的PZer你好：


不能用画图法因为，The appropriate discount rate for the FRA settlement cash flows is 1.5%. After 60 days, 90-day Libor is 0.80%。


如果是画图法我们要用90天的libor折现，但这里要我们用1.5%折现，2个折现率不一致的时候不能用画图法。强化班图右下角有写一般相等


最终的现金流是收固定付浮动所以是1.2-0.8，乘以本金 在折现


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