注册 登录
上一主题：Duration for futures calculation.
下一主题：CFAI BK.1, RD13, Q6
返回列表 发帖
himanshumh

Rank: 1

UID
223388 
帖子
226 
主题
41 
注册时间
2011-7-11 
最后登录
2014-7-3 
1# 跳转到 » 倒序看帖
打印
tT
发表于 2011-7-11 19:25 | 只看该作者

Derivative: R61P131 Q10

present, solution, question, actually, understand
does the solution for the question actually calculate the present value of the payoff at FRA exiration date? Otherwise I could not understand the term: (1+Lh(m)*(m/360))

Thanks.

 

相关主题：

. Reading 37:- Calculating value of Intangibles

. CFAI EOC Reading 38 #9

. CFA Mock Exam, FRA question

. CFA option question

. Can you still get a Band 10 fail for level 1 with *70% in et

收藏 分享

SpyAli

Rank: 2

UID
223440 
帖子
306 
主题
14 
注册时间
2011-7-11 
最后登录
2014-8-6 
2#
发表于 2011-7-11 19:25 | 只看该作者
think of the forward as a commitment to borrow at a set rate

the set rate is 4.48

well at expiry the rate is 4.68

the payments on such "theoretical borrowing" wont be at expiration, they would be 180 days later...

the bottom part of teh equation simply present values the diff to account for time value...

i hoped it helped, 5 AM i gota go to bed, cant do a better explanation for now

TOP

CPATrader

Rank: 2

UID
223441 
帖子
243 
主题
10 
注册时间
2011-7-11 
最后登录
2014-8-7 
3#
发表于 2011-7-11 19:25 | 只看该作者
before i go to bed...

but remmber, these things are often settled when they expire...

so you pay the amount of money that if it was to be invested at current rates it becomes the same as if it was settled a the end of the loan..

TOP

返回列表
上一主题：Duration for futures calculation.
下一主题：CFAI BK.1, RD13, Q6