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a) Determine the rate on the FRA(6x9) contract if the 6-month and 9-month LIBOR rates are 2.00% and 2.10%, respectively. Use day-counts of 182 and


  • a) Determine the rate on the FRA(6x9) contract if the 6-month and 9-month LIBOR rates are 2.00% and 2.10%, respectively. Use day-counts of 182 and 272 for the two LIBOR rates

  • b) Determine the dollar profit or loss to the buyer of the FRA contract in part (a) at settlement date for a notional principal of 100 million USD if the three-month LIBOR turns out to be 1.7% at settlement date.

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