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Assume the 10-month and 16-month LIBOR spot rates are 2.56% and 2.82% (with semiannual compounding). Roth enters into an FRA in which he will pay

  1. Assume the 10-month and 16-month LIBOR spot rates are 2.56% and 2.82% (with semiannual compounding). Roth enters into an FRA in which he will pay 3.1% (with semiannual compounding) on a principal of $5,000,000 between months 10 and 16. What is the payoff of the FRA at the 16 months point?

A.

$4,800

B.

$3,833

C.

$6,333

D.

$4,498

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