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If the 1-month LIBOR rate is 4.75%, the 4-month LIBOR rate is 5.13%, and the 5- month LIBOR rate is 5.75%: Calculate the fair price
If the 1-month LIBOR rate is 4.75%, the 4-month LIBOR rate is 5.13%, and the 5-
month LIBOR rate is 5.75%:
- Calculate the fair price of a 1X5 FRA;
- If the 1X5 FRA is quoted at 5.25%, determine whether the FRA is correctly priced and what transactions would you make to take advantage of the mispricing, if any.
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The Engineers Cost Handbook Tools For Managing Project Costs
Authors: Richard E. Westney
1st Edition
0824797965, 978-0824797966
