财务工程的分析方法

3The SettlementProcessi.Terminology*Contract amount:the principalsum notionallylent orborrowed*Contract currency:the currencyin whichthe contractamount isdenominated*Dealing date:the datewhen the FRA dealis struck*Settlement date:the datewhen thenotional loanor depositcommences*Fixed date:the datewhen thereference rateisdetermined*Maturity date:the datewhen thenotional loanor depositmatures*Contract period:the numberof daysbetween settlementand maturitydates*Contract rate:the fixedinterest rateagreed undertheFRA*Reference rate:the market-based rateused to the fixingdate todeterminethe settlement sum*settlementsum:the amountpaid byone partyto theother onthesettlement date,based onthe differencebetween theDefermentperiod Contractperiodcontract andreference ratesDealingSpot Fixingdate SettlementMaturitydate date datedate5-12（星期三）reference1993-4-124-14（星5-

6.25%

1923.18美元（实际支付）

9.500%12个月期的贷款利率=

9.875%银行为客户确定贷款利率的根本思想现在以

9.875%的利率借入12个月期的款项，然后将以

9.5%的利率进行一笔为期6个月的贷款6个月后用收到的还款满足客户的需要Forward-Forward Loana.The originaldealGBPspot6months-1,000,0001year b.Forward transactioncompletely hedgedGBPspot-954,654+954,654lend6mos.@

9.5%6months+1,000,000borrow12mos.@

9.875%-1,000,000。