Question
6. Suppose that CLGs treasurer hedges the firms interest rate risk using a 17 FRA with a contract rate of 5.125 percent. a. Interpret the
6. Suppose that CLGs treasurer hedges the firms interest rate risk using a 17 FRA with a contract rate of 5.125 percent.
a. Interpret the meaning of a 17 FRA.
b. Calculate the settlement amount on the FRA assuming short-term rates increase to 5.50 percent in one month.
c. Calculate the settlement amount on the FRA assuming short-term rates decrease to 4.50 percent in one month.
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Public Finance Administration
Authors: B. J. Reed, John W. Swain
2nd Edition
0803974051, 978-0803974050
