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I have this exercise to solve about Forward Rate Agreement (FRA): 1. The 6, 12, 18, and 24 months rates are 3%, 3.5%, 3.75%, and
I have this exercise to solve about Forward Rate Agreement (FRA):
1. The 6, 12, 18, and 24 months rates are 3%, 3.5%, 3.75%, and 4%, respect- ively. What is the price of the FRA that pays 5% fixed, on a principal of 500,000 for a 6-months period, starting in 18 months? Consider semi-annual compounding.
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International Finance Putting Theory Into Practice
Authors: Piet Sercu
1st edition
069113667X, 978-0691136677
