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- UID
- 223421
- 帖子
- 317
- 主题
- 7
- 注册时间
- 2011-7-11
- 最后登录
- 2014-8-7
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| I ignore the value formula and base everything on the price formula, which is easy: take the long rate divide it by the short rate, then minus one, then annualize it. Done. The value of the FRA is basically a difference between two prices, calculated as above. |
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发表于 2011-7-11 19:28
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