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CFA Reading 71, Question 9
The formula for calculating the payoff at expiration of a forward rate agreement (FRA) is:
Notional Principal * [ ((Underlying rate at expiry Forward Contract Rate) (Days in Underlying / 360)) / ((1 + Underlying Rate at expiration) (Days in Underlying Rate / 360)) ]
Use the above formula to solve for the payment at expiration of an investor who went long a 3 x 9 FRA with a notional principal of $10MM where the 180day LIBOR rate at expiration is 4.80 percent at the forward contract rate was set at 5.20 percent.
A. $588,235
B $19,531
C. $19,493
The book says (B)
My calculation:
=10MM [ ((0.0480.052)(180/360)) / ((1+0.048)(180/360)) ]
=10MM [ ((0.004)(0.5)) / ((1.048)(0.5)) ]
=10MM [ (0.002) / (0.524) ]
=10MM [ (0.0038) ]
=$38,167.94
Am I doing something wrong? |
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发表于 2013-4-3 06:45
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