标题: L1 Derivative investment的一题求解答，非常感谢！ [打印本页]

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作者: DarienHacker    时间: 2014-6-28 16:53     标题: L1 Derivative investment的一题求解答，非常感谢！

An investor enters into a 1*3 forward rate agreement at a LIBOR rate of 1.5 percent. At expiration, the 60-day LIBOR rate is 1.7percent and the 90-day LIBOR rate is 1.9 percent. Assuming the contract covers a $1 million notional principal, what payment will the investor most likely receive?
A. 249.00
B. 332.39
C. 333.33

我选的是C，答案是B。
小的惶恐，向各位大臣求教。。。非常感谢！

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作者: bkballa    时间: 2014-6-28 16:53

额。。。我好像知道了，是不是因为拿到钱实际上是expire date60天之后了，所以实际上到手的钱要减去这六十天里面损失的价值，所以$1 million*(0.017-0.015)*(60/360)之后还要再除以(1+0.017*60/360)？

可是这六十天少的钱应该怎么理解呢？理解成折现损失？利息？

谢谢。。T-T

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