2008 CFA Level 1 － Sample 样题(3)－Q57 face, agreement, forward, dealer

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57、Dwayne, Inc., goes long (buys) a 90-day forward rate agreement (FRA) with a dealer in London. The notional principal is $20 million and the underlying rate is 180-day LIBOR that the dealer quotes at 6.0 percent. At expiration of the contract, 180-day LIBOR is 6.5 percent. The payment that must be made to settle the contract is closest to:

A. $24,213 from Dwayne to the dealer.

B. $24,213 from the dealer to Dwayne.

C. $48,426 from Dwayne to the dealer.

D. $48,426 from the dealer to Dwayne.

 

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答案和详解如下：

57、Correct answer is D

"Forward Markets and Contracts," Don M. Chance

2008 Modular Level I, Vol. 6, pp. 40-43

Study Session 17-71-g

calculate and interpret the payoff of an FRA and explain each of the component terms

Interest rates increased and Dwayne was long the contract, so the payment would be from the dealer to Dwayne. The amount of the payment is given by:

$20 million [(0.065 - 0.06)(180 / 360) / (1 + 0.065(180 / 360))] = $48,426.15

 

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