标题: Credit risk in a FRA [打印本页] 作者: pimpineasy 时间: 2011-7-11 19:10 标题: Credit risk in a FRA
In the Schweser examples (pages 9092 on reading 39) they give the formula:
payoff = (LIBOR - r)NP*(days in underlying /360)
In concept check #10 they calculate the payoff using the loan rate (LIBOR + 150bps)
Why the difference and when do you use one vs. the other?作者: mcmc 时间: 2011-7-11 19:10
I want to say that one is calculating the payoff and the other is discounting back to today, but not looking作者: skycfa 时间: 2011-7-11 19:10
By the way, I found that only Schweser covers credit risk in a FRA in this example..... the curriculum only covers forward, swap & option... besides, the LOS only asks us to know credit risk in forward, swap & option as well!!!
well... i wonder if we need to know about this for exam!!!作者: Valores 时间: 2011-7-11 19:10
FRA is a forward作者: mar350 时间: 2011-7-11 19:10
i dont think we need to now the calculations of FRA for L3作者: NakedPuts2011 时间: 2011-7-11 19:10
dont need to know the calc. how easy is the deriv section compared to L2 shuns?作者: nannan66 时间: 2011-7-11 19:10
