m同學
2024-07-23 13:34A company wants to borrow $10 million for 90 days starting in one year. To hedge the interest rate risk of the future borrowing, the company enters into a forward rate agreement (FRA) where the company will pay a fixed rate, R(k), of 5.0%. The FRA cash settles in one year; i.e., in advance (T=1.0) not in arrears (T=1.25). All rates are expressed with quarterly compounding. If the actual 90-day LIBOR observed one year forward turns out to be 6.0%, what is the cash flow settlement by the company under the FRA?老師這道題我可以這么理解嗎：今天T0時刻這家公司進入了一個約定為未來1年后固定利率為5%的為期90天（0.25年）的遠期合約，T2為合約到期時間，T1為提前結束/實際持有的時間。如果T1時，90天的年化浮動利率為6%，那么T1時刻的遠期結算的現(xiàn)金流/payoff為多少？
所屬：FRM Part I > Financial Markets and Products 視頻位置 相關試題
來源： 視頻位置 相關試題
1個回答
黃石助教
2024-07-24 11:07
該回答已被題主采納
同學你好。整體的思路是沒有問題的，但是注意FRA合約本身在T1時刻就已結束。該合約在T1時刻根據(jù)屆時具體的市場利率進行結算。
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