m同學(xué)
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(shí)刻這家公司進(jìn)入了一個(gè)約定為未來1年后固定利率為5%的為期90天（0.25年）的遠(yuǎn)期合約，T2為合約到期時(shí)間，T1為提前結(jié)束/實(shí)際持有的時(shí)間。如果T1時(shí)，90天的年化浮動(dòng)利率為6%，那么T1時(shí)刻的遠(yuǎn)期結(jié)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(guān)試題
來源： 視頻位置 相關(guān)試題
1個(gè)回答
黃石助教
2024-07-24 11:07
該回答已被題主采納
同學(xué)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(shí)刻就已結(jié)束。該合約在T1時(shí)刻根據(jù)屆時(shí)具體的市場(chǎng)利率進(jìn)行結(jié)算。
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