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30 days ago, J. Klein took a short position in a $10 million (3X6) forward rate agreement (FRA) based on the London Interbank Offered Rate
30 days ago, J. Klein took a short position in a $10 million (3X6) forward rate agreement (FRA) based on the London Interbank Offered Rate (LIBOR) and priced at 5%. The current LIBOR curve is: 30-day = 4.8% 60-day = 5.0% 90-day = 5.1% 120-day = 5.2% 150-day = 5.4%
The current value of the FRA, to the short, is closest to:
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