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标题: 一道课后练习——note book 5 page 145 [打印本页]

作者: eolande 时间: 2007-2-16 11:16 标题: 一道课后练习——note book 5 page 145

consider a $2 million FRA with a contract rate of 5% on 60-day LIBOR. If 60-day LIBOR is 6% at settlement the long will:

(0.06-0.05)*(60/360)*$2million *1/(1+0.06/6)=3300.33

胡老师，前面一半的计算我明白，可以为什么后面要乘上1/(1+0.06/6)，这个代表什么呢？谢谢老师帮助

作者: 胡老师 时间: 2007-2-23 18:05

1/(1+0.06/6)，  这是个折现因子，把(0.06-0.05)*(60/360)*$2million换算到 settlement 那一天

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