周同學(xué)
2018-08-27 09:28請(qǐng)問(wèn)課件里的這道題解答思路如何？感謝老師和小伙伴們
所屬：FRM Part I 視頻位置 相關(guān)試題
來(lái)源： 視頻位置 相關(guān)試題
1個(gè)回答
金程教育吳老師助教
2018-08-27 09:56
該回答已被題主采納
學(xué)員你好。解析如下
Correct Answer: B
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.
計(jì)算settlement時(shí)點(diǎn)結(jié)算的金額，需要將T時(shí)刻收到的利息用單利折現(xiàn)到settlement時(shí)刻點(diǎn)
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