Question
1.) Suppose that a party wanted to enter an FRA that expires in 42 days and is based on 135-day LIBOR. The dealer quotes a
1.) Suppose that a party wanted to enter an FRA that expires in 42 days and is based on 135-day LIBOR. The dealer quotes a rate of 0.0322 on the FRA. Assume that at expiration, the 135-day LIBOR is 0.0260, and the notional amount is USD15,000,000. What is the payoff of the FRA long position?
2.) A US-based exporter anticipated receiving 1000 British Pound (GBP) in six months, and took a short forward position, locking-in an exchange rate of $1.34/GBP. If six months later at maturity, the spot exchange rate becomes $1.35/GBP, what is the payoff of the exporter?
Note: For all the questions regarding Payoff or Profit/Loss, if you find out a positive value, then you just use the number as the answer of the question. If you find out a negative value, then you should put "-" when you put down your answer. For instance, if you get the payoff of 100 US Dollars, just put 100 in your final answer; if you get the payoff of -100 US Dollars, just put -100 in your final answer if you find out a positive value, then you just use the number as the answer of the question. If you find out a negative value, then you should put "-" when you put down your answer. For instance, if you get the payoff of 100 US Dollars, just put 100 in your final answer; if you get the payoff of -100 US Dollars, just put -100 in your final answer.
3.) Suppose you enter into a long 6-month forward contract with F=46. What is the payoff in 6 month, if the spot price jumps up to S=67.
4.) Suppose we enter into a 120-day T-bill futures contract quoted at 5%. The notional amount is $1,000,000. What is the quoted price?
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