第四章-JOHN-HULL-期权与期货市场基本原理第七版.pptVIP

Fundamentals of Futures and Options Markets, 7th Ed, Ch 4, Copyright ? John C. Hull 2010 Forward Rate Agreementcontinued An FRA is equivalent to an agreement where interest at a predetermined rate, RK is exchanged for interest at the market rate An FRA can be valued by assuming that the forward interest rate is certain to be realized * Fundamentals of Futures and Options Markets, 7th Ed, Ch 4, Copyright ? John C. Hull 2010 FRA Example A company has agreed that it will receive 4% on $100 million for 3 months starting in 3 years The forward rate for the period between 3 and 3.25 years is 3% T