1個回答
金程教育吳老師助教
2018-07-18 16:54
該回答已被題主采納
學(xué)員你好。
過程如下。
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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