标题: 2 CFAI EOC FRA Q [打印本页] 作者: tango_gs 时间: 2011-7-13 14:03 标题: 2 CFAI EOC FRA Q
Volume 6 Page 53 Numbers 9C and 10C (both deal with valuing an FRA prior to maturity).
First I did 9C and realized that CFAI does this completely differently than Schweser teaches. I didn't really mind because my answer of $8,065 was close enough to their answer of $8,100.
Then i did 10C and found my answer of -$26,034 is way different than theirs of -$19,845. I did it over and over, exactly following the way Schweser teaches on Page 25 of Book 5.
Can anyone please assist here? Don't really care to learn it the way CFAI does it, just want to know why answers are so different so perhaps someone who learned it Schweser way can comment if they're getting my answers or CFAI's. Hopefully I'm just making a dumb mistake and Schweser just didn't teach it wrong. Thanks.作者: busterbluth 时间: 2011-7-13 14:03
Probably due to rounding I would say. CFAI goes out to 4 decimal places.作者: DSquaredSlim 时间: 2011-7-13 14:03
what I do in such case:
calc the original FRA rate (10B)
calc new market FRA rate 30 days later with the same start and end
take difference of the rates and discount this to PV using 150d rate
thats how I got 19,748.83 on my calculator (the difference is due to rounding)作者: wizofoz 时间: 2011-7-13 14:03
Tell me where I'm wrong here:
The original FRA Rate (10B): 6.187%
The new FRA rate: [1 + (.0562)(150/360)] / [(1 + (.055)(60/360)] -1 x 360/90 x 100 = 5.483%
Value = [(.054833 - .06187)(90/360)] / [ 1 + (.0562)(150/360)] x 15M = -$25,795
Edited 1 time(s). Last edit at Wednesday, May 26, 2010 at 04:58PM by the show NY.作者: RMontgomery 时间: 2011-7-13 14:03
try it once again, your formula is correct, inputs are ok, but the results is not作者: madaochenggong 时间: 2011-7-13 14:03
wow that is absurd. i just redid it and carried all the decimals out to 9 places instead of 4 and now i am getting -19,676. thats crazy how that type of minuteness can have such a large effect on the final result.
