第4讲 远期利率协议和外汇远期合约.pdfVIP

CFA Level Ⅱ: Derivatives 主讲人：Evelyn 高 远期利率协议和外汇远期合约 FRA and Currency forwards Pricing and Valuation of Forward Commitments • Forward contracts ü Equity Forward Contracts ü Equity Index Forward Contracts ü T-bill (zero-coupon bond) forwards ü Forward Contracts on Coupon Bonds ü Forward Rate Agreements ü Currency forwards • T-bond Futures • Swap contracts Forward Rate Agreements • FRA is a forward contract on an interest rate (LIBOR). ü The long position can be viewed as the right and the obligation to borrow at the for