Suppose that 6-month and 9-month LIBOR are 7% and 9% with continuous compounding. RST Inc. enters into

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Suppose that 6-month and 9-month LIBOR are 7% and 9% with continuous compounding. RST Inc. enters into a FRA to receive the forward market rate and pay 12% measured with quarterly compounding, on a notional principal of $1 million for 3 months beginning after 6 months from now.

Is RST a FRA buyer or seller?

What is value of this FRA to RST?

Posted Date: May 17, 2024 09:11 PM

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Suppose that 6-month and 9-month LIBOR are 7% and 9% with continuous compounding. RST Inc. enters into

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