Q48. Dwayne, Inc., goes long (buys) a 90-day forward rate agreement (FRA) with a dealer in London. The notional principal is $20 million and the underlying rate is 180-day LIBOR that the dealer quotes at 6.0 percent. At expiration of the contract, 180-day LIBOR is 6.5 percent. The payment that must be made to settle the contract is closest to: A. $24,213 from Dwayne to !lie dealer. B. $24,213 from the dealer to Dwayne. C. $ 48,426 from Dwayne to the dealer, D. $48,425 from the dealer to Dwayne.
答案和详解如下：
Q48. D Study Session 17-74.f Interest rates went up and Dwayne was long the contract, so the payment would be from the dealer to Dwayne. The amount of the payment id given by: $20,000,000[(0.065-0.06)(180/360)/(1+0.065(180/360))] = $48.426.15.
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发表于 2007-11-7 09:59
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