A U.S. Corporation takes long position on a 3 x 6 FRA contract of $35,000,000 notional amount, based on 90-day LIBOR. The current LIBOR rates for 90 and 180 days are 5.0% and 5.6%, respectively a) Calculate forward rate at contract initiation. [ 2 Marks ] Assume that 30 days has passed into the life of FRA, with 60 days remaining and the 60-day LIBOR is 5.5% and 150-day LIBOR is 6.0% now after 30 days. b) Calculate forward rate after 30 days of contract initiation. [ 2 Marks ] c) Calculate the value of the pay-fixed 3 x 6 FRA after 30 days of contract initiation. [ 2 Marks ] d) Who will be in gain, the buyer or the seller of this FRA and why? [ 1 Mark ]