题目
An investor has entered into a forward rate agreement where she has contracted to pay a fixed rate of 5 percent on $5,000,000 based on the quarterly rate in three months. If interest rates are compounded quarterly, and the floating rate is 2 percent in three months, what is the theoretical payoff at the end of the sixth month? The investor will:
选项
A.receive a payment of $37,500
B.make a payment of $75,000
C.receive a payment of $75,000
D.make a payment of $37,500
答案
D
解析
Payoff = $5,000,000×(0.02-0.05)×3/12=-37,500. The negative sign means the investor will make a payment of $37,500.损益= $5,000,000×(0.02－0.05)×3/12=－37,500.