问题
单项选择题
An investor does research about forward rate agreement and takes a $1million short position in a forward rate agreement 3×9 quoted at 5% according to LIBOR. At expiration, the investor gathers the following rates:
| Underlying Rate | Rate |
| 30-day LIBOR | 5.20% |
| 60-day LIBOR | 5.30% |
| 90-day LIBOR | 5.40% |
A. $495.62
B. $500.00
C. $660.83
答案
参考答案：A
解析：
FRA 3×9说明该远期利率协议是3个月的期限，针对6个月的LIBOR，所以取5.3%作为到期结算的LIBOR。
[1000000×(5.30%-5%)×60/360]/(1+5.30%×60/360)=500/1.00883=495.62。