曾同学2018-08-17 11:48:06
为何算出来总是A选项呢?
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金程教育吴老师2018-08-17 16:58:56
学员你好。本题计算的是settlement amount,需要将T时刻的payoff折算到settlement date。不过这里比较特殊,是单利折现。
计算过程如下:
The seller of an FRA agrees to receive fixed. Since rates are now higher than the contract rate, this contract must show a loss for the seller. The loss is $10,000,000 × (6.85% - 6.35%) × (90/360) = $12,500 when paid in arrears (i.e., in 9 months). On the settlement date (i.e., brought forward by 3 months), the loss is $12,500/(1 + 6.85% × 0.25) = $12,290.
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