What is the value of a 6.00% 1x4 (30 days x 120 days) forward rate agreement (FRA) with a principal amount of $2,000,000, 10 days after initiation if L10(110) is 6.15% and L10(20) is 6.05%?
Your answer: B was incorrect. The correct answer was C) $745.76.
The current 90-day forward rate at the settlement date, 20 days from now is:
([1+ (0.0615 x 110/360)]/[1+ (0.0605 x 20/360)] – 1) x 360/90 = 0.061517
请问高手这个算式如何取整能够得出如上答案？
The interest difference on a $2 million, 90-day loan made 20 days from now at the above rate compared to the FRA rate of 6.0% is:
[(0.061517 x 90/360) – (0.060 x 90/360)] x 2,000,000 = $758.50
Discount this amount at the current 110-day rate:
758.50/[1+ (0.0615 x 110/360)] = $745.76
| 
发表于 2009-5-15 16:57
|