题目
ABC, Inc., entered a forward rate agreement (FRA) to receive a rate of 3.75% with continuous compounding on a principal of USD 1 million between the end of year 1 and the end of year 2. The zero rates are 3.25% and 3.50% for one and two years. What is the value of the FRA when the deal is just entered?
选项
A.USD 35,629
B.USD 34,965
C.USD 664
D.USD 0
答案
D
解析
Given that this is exactly equal to the quoted rate, the value must be zero如果这个正好等于报价利率，那么它的价值一定是零。