Question
Find the approximate market value of a long position in an FRA at a fixed rate of 5 percent in which the contract expires in
Find the approximate market value of a long position in an FRA at a fixed rate of 5 percent in which the contract expires in 20 days, the underlying is 180-day LIBOR, the notional amount is $25 million, the 20-day rate is 7 percent, and the 200-day rate is 8.5 percent.
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Fixed rate 5 Contract expiry 20 days LIBOR 180 days Notional amount 25 million 20 days intere...
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Fundamentals of Investments Valuation and Management
Authors: Bradford D. Jordan, Thomas W. Miller
5th edition
978-007728329, 9780073382357, 0077283295, 73382353, 978-0077283292
