CFA论坛 - Powered by Discuz! Board

标题: L1 MOCK afternoon q94 [打印本页]

作者: carriezz 时间: 2010-6-4 00:30 标题: L1 MOCK afternoon q94

An investor enters into a 1X3 forward rate agreement a t a LIBOR rate of 1.5 percent. At expiration , the 60-day LIBOR rate is 1.7 percent and the 90-day LIBOR rate is 1.6 percent. Assuming the contract covers a 1 million dollar notional principal, what payment will the investor most likely receive?

A 249.00

B 332.39

C 333.33

答案是按60-day LIBOR 算的，说不能用90-day 算。我想问从题目里哪里看出是要用60-day 的？ 1X 3表示什么呢?

作者: batman119 时间: 2010-6-4 02:47

1*3= 1*30 days from now ,then the rate for next 2*30-days rate (so the total period is 1+2=3)

作者: rachel_ 时间: 2010-6-4 07:56

完完全全套书上的公式

作者: carriezz 时间: 2010-6-4 23:50

明白了是1X3的意思没理解

作者: impboy0225 时间: 2010-6-5 00:43

1*3 means FRA maturing in 1 month, at which time a 2-month loan(60-day LIBOR) will be exchanged.

欢迎光临 CFA论坛 (http://forum.theanalystspace.com/)