Question
1) Suppose you are long a 90-day LIBOR-based FRA with notional amount of $50 million. At expiration, LIBOR is 4% and the strike rate (the
1) Suppose you are long a 90-day LIBOR-based FRA with notional amount of $50 million. At expiration, LIBOR is 4% and the strike rate (the agreed-upon rate) is 3%. Assuming a 360-day year, what is the dollar profit or loss on this FRA? How would your answer change if you were short?
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Problems In Portfolio Theory And The Fundamentals Of Financial Decision Making
Authors: Leonard C Maclean, William T Ziemba
1st Edition
9814749931, 978-9814749930
