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FRM®一级金融市场与金融产品备考公式（2）
文章来源：网络
发布时间：2021-12-08 16:05
阅读：649次
本文继续为大家介绍FRM®一级风险管理基础的备考公式，以下是第三部分金融市场与金融产品的相关公式，一起来看吧。
Financial Markets and Products
Forward Rate Agreement (FRA)
An FRA is a forward contract obligating two parties to agree that a certain interest rate will apply to a principal amount during a specified future time. The T2 cash flow of an FRA that promises the receipt or payment of RK is:
where:
L =principal
R= annualized actual rate
MBS Prepayments
Three general forms: (1) increasing frequency/ amount of payments, (2) refinancing outstanding balance, (3) repaying outstanding balance when property is sold.
Prepayments are more likely when market interest rates fall and borrowers wish to refinance their existing mortgages at a new/lower rate.【点击免费下载>>>更多FRM学习相关资料】
Conditional Prepayment Rate (CPR)
Annual rate at which a mortgage pool balance is assumed to be prepaid during the life of the pool. The single monthly mortality (SMM) rate is derived from CPR and used to estimate monthly prepayments for a mortgage pool:
Option-Adjusted Spread (OAS)
Spread after the “optionality” of the cash flows is taken into account.
Expresses the difference between price and theoretical value.
When comparing two MBSs of similar credit quality, buy the bond with the higher OAS.
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