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- 2011-7-2
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- 2015-1-30
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Just read through and I share your opinion. Additionally I couldn't find any related calculations in the CFAI books...
Market standard for the FRA-payment at maturity is to discount the FV with the LIBOR (matching the loan-period) obtained 2 days before the loan starts. The FV of the FRA is (which is right in Schweser) the difference between the FRA-rate and the obtained LIBOR fixing. |
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发表于 2011-7-13 16:07
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