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Jingwen · 2021年08月08日

老师,我发现这类题目我总不知道是在求哪个点的value或者price

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

老师您好,在做这道题目的时候,我听了课之后图都是会画了,但是在做题的时候有一个问题,就是不知道在求哪个时间节点的value或者price。

就拿这道题来说,The value of this 3×6 FRA is,这个的话我当时理解成在FRA到期的时候的价格了,然后发现没有相应的折现率,也就求不下去了。这个有什么好的方法能够辨别吗?还是考试的时候会写好是在现在的时间节点的value?

1 个答案
已采纳答案

WallE_品职答疑助手 · 2021年08月09日

嗨,努力学习的PZer你好:


The value of this 3×6 FRA is 强调的是value,所以肯定不是求价格,价格的英文是price


求哪个时间点的,需要看题干,比如这道题目的第一句话A bank entered into a 3×6 FRA 30 days ago as a fixed receiver. 也就是30天前是0时刻,0时刻决定整一个3*6的FRA。 所以现在在30的时间点。

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努力的时光都是限量版,加油!

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