远期利率协议(FRA)合约估值

Valuing Forward-Rate Agreements[FRA]

作为在业界很受欢迎的一种投资工具,远期利率协议(FRA)是其他利率衍生品的基础,它能帮助投资者锁定利息成本,企业能用FRA对未来的利率风险进行套期保值。该文结合实例介绍了FRA新合约及存续合约的定价方法,并展示了FRA无套利利率的推导过程。

As an investment tool hugely popular in the financial sector, Forward Rate Agreement （FRA） is the building blocks of other interest rate dedvatives. It enables investors to lock-in an interest rate for borrowing or lending, and allows enterprises to hedge future interest rate risks. This paper uses examples to show the measures for pricing a new FRA or an existing FRA, and presents the process of deriving the arbitrage-free FRA rate.