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:
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?