问题
单项选择题
The term (maturity) of a forward rate agreement is 90 days and the underlying rate is 180 - day LIBOR. If 180-day LIBOR increases over the term (life) of the contract, which of the following best describes the descriptive notation for the contract and the party receiving payment at expiration, respectively Descriptive notation Party receiving payment at expiration ①A. 3 × 6Long ②B. 3 × 9Long ③C. 3 × 6Short
A．
| A. ① |
B．
| B. ② |
C．
| C. ③ |
答案
参考答案：B
解析：The forward rate agreement contract id for three months and interest is paid nine months from the contract initiation date, hence the notation 3 × 9 ; when the rate on the underlying increases, the party that is long receives the payment at expiration.