請教BOOK5，Reading58-Concept Checkers 中的問題
如標題請教BOOK5，Reading 58-Concept Checkers 中的問題第10題
Consider a $2 million FRA with a contract rate of 5% on 60-day LIBOR.
If
60-day LIBOR is 6% at settlement day, the long will:
Ans:
(0.06-0.05)*(60/360)*2 million*1/(1+0.06/6)=$3,300.33.
請問為什麼要 *1/(1+0.06/6) 呢?
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第14題
A company treasurer needs to borrower 10 million euros for 180 days,60 days from now.
The type of FRA and the position he should take to hedge the interest rate risk of this transaction are:
Ans:
FRA Position
2X8 Long
Long 是應為要借錢為了怕利率上漲，那請問2X8是什麼意思呢??
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請各位大牛幫我解答 ，感謝! |
发表于 2014-8-5 14:13
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