标题: FRA IS schweser incorrect? [打印本页] 作者: JPSem 时间: 2013-4-8 22:26 标题: FRA IS schweser incorrect?
Study Session 17, Reading #68, Concept Checkers Q10
Consider a $2 million FRA with a contract rate of 5% on 60day LIBOR. If 60day LIBOR is 6% at settlement, the long will:
A) pay $3,333
B) receive $3,300
c) receive $3,333
My answer is, the long will receive 18,867.92.
2m[(0.060.05)*60/360)]/[1.06*(60/360)]=18,867.92
Please correct me if my answer is incorrect.作者: Windjam 时间: 2013-4-8 22:26
They are looking for the formula on Swap interest payments which is (swap fixedlibor)(# days/360)(notional)作者: BC_MBA_student 时间: 2013-4-8 22:27
saminathan I see the error in your formula it’s supposed to be
2m[(0.060.05)*60/360)]/[1 + (.06* 60/360)] = 3300 = B
Your one is:
2m[(0.060.05)*60/360)]/[1.06*(60/360)]
See the difference ?
In the denominator in the bracket keep it like 1 +( Refrence Rate * das/360)作者: svgleeson 时间: 2013-4-8 22:27
Supersunny,
thank you so much for pointing out the error.
Lately, I am making so many silly mistakes like this one.作者: krause2 时间: 2013-4-8 22:27
saminathan the thing I do is just that I multiply the principal with the numerator and then that amount I discount to the denominator. Just a lil 2 step trick.
Good luck
