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6. On July 16, 2023 an investor enters into an FRA in which she will pay 8% per year for a three month period starting
6. On July 16, 2023 an investor enters into an FRA in which she will pay 8% per year for a three month period starting on April 16, 2024 on a principal of $1,000,000. Today is October 16, 2023. The forward rate for the three-month period starting on April 16,2024 is 7.6% and the risk-free spot rate for April 16,2024 is 7%. What is the value of the FRA for the investor today? All the rates presented in this problem are in continuous compounding
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Finance For Executives Managing For Value Creation
Authors: Gabriel Hawawini, Claude Viallet
7th Edition
1473778913, 978-1473778917
