ShintreH, I took that exam the other day and had the same exact question you had. I think Schweser is wrong here, although to be honest with you, I would calculate it the CFA way, then calculate it the Schweser way and see if both answers are there. If they are, well, that sucketh mightily.
Ultimately, I would just think about it. Calculate the difference in rate on the FRA and the current rate, scale it by the number of days in the loan period, and discount it back to present day. If the CFA formula gives me this, I go with that. If Schweser's does, then I go with that.
Yes, it takes more time. I know I know. |
发表于 2011-7-13 16:06
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