Question
A bank can borrow or lend at the rates shown below. What is the value of an FRA where it will earn 4.10% for a
A bank can borrow or lend at the rates shown below. What is the value of an FRA where it will earn 4.10% for a three-month period starting in one year on a principal of $1,000,000? The interest rates are expressed with quarterly compounding.
| Maturity (months) | Rate (% per annum) |
| 3 | 3.0 |
| 6 | 3.2 |
| 9 | 3.4 |
| 12 | 3.5 |
| 15 | 3.6 |
| 18 | 3.7 |
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Digital Finance Big Data Start-ups And The Future Of Financial Services
Authors: Perry Beaumont
1st Edition
0367146797, 978-0367146795
