Question
A notional amount of $200 million 3v6 FRA is set at the rate of 6.5%. The market maker is exposed to the risk that interest
A notional amount of $200 million 3v6 FRA is set at the rate of 6.5%. The market maker is exposed to the risk that interest rates will have raised by the FRA settlement date in 3 months' time. Suppose that the 3-month current spot rate is 5.75%.
Compute the hedge ratio for the risk.
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Financial statements
Authors: Stephen Barrad
5th Edition
978-007802531, 9780324186383, 032418638X
