You have an FRA to borrow at 5% that has six months to run until maturity and
Question:
You have an FRA to borrow at 5% that has six months to run until maturity and is for the period (6,12) containing 183 days. The current forward rate for the period (6,12) is 5.2%. What is the mark-to-market value of the FRA? What is the PVBP of this contract? Explain the sign of the PVBP. Assume the standard Actual/360 money market convention.
Fantastic news! We've Found the answer you've been seeking!
Step by Step Answer:
The MTM value on a 1 notional of the FRA at 520 is 052 MTM 520 050 x 183360 1052 x 183360 00009...View the full answer
Answered By
GERALD KAMAU
non-plagiarism work, timely work and A++ work
6+ Reviews
11+ Question Solved
Related Book For 
Question Posted:
