Question
Assume that you have already bought a 90-day LIBOR-based floating rate note (FRA) with notional amount of $50m. With the strike rate (the agreed-upon rate)
Assume that you have already bought a 90-day LIBOR-based floating rate note (FRA) with notional amount of $50m. With the strike rate (the agreed-upon rate) of 3%, and assuming you receive the float payments, and the LIBOR at expiration is 4%
,(1)how much youwouldpay (receive) to(from)the FRA seller?
(2) If LIBOR at expiration is 2.5%, how much you would receive from the FRA seller?
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Financial Management for Public, Health and Not-for-Profit Organizations
Authors: Steven A. Finkler, Daniel L. Smith, Thad D. Calabrese, Robert M. Purtell
5th edition
1506326846, 9781506326863, 1506326862, 978-1506326849
