Question
Answer the questions below based on the following Libor quotes. Libor Rates (USD Latest Wk ago High Low Libor Overnight 0.43422 0.43367 0.43733 0.12950 Libor
Answer the questions below based on the following Libor quotes.
| Libor Rates (USD | Latest | Wk ago | High | Low |
| Libor Overnight | 0.43422 | 0.43367 | 0.43733 | 0.12950 |
| Libor 1 Week | 0.46044 | 0.45811 | 0.46256 | 0.15520 |
| Libor 1 Month | 0.61672 | 0.58422 | 0.61672 | 0.24375 |
| Libor 2 Month | 0.73444 | 0.72028 | 0.73444 | 0.32975 |
| Libor 3 Month | 0.93067 | 0.92483 | 0.93733 | 0.42220 |
| Libor 6 Month | 1.29267 | 1.27822 | 1.29267 | 0.66340 |
| Libor 1 Year | 1.64067 | 1.62789 | 1.64511 | 0.98435 |
(i) What is the price of a new 6x12 FRA? For simplicity, assume there are exactly 30 days per month.
(ii) What is the value of this FRA?
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International financial management
Authors: Jeff Madura
9th Edition
978-0324593495, 324568207, 324568193, 032459349X, 9780324568202, 9780324568196, 978-0324593471
