Question
On 01.01.2020 company A has entered a FRA contract under which it will: pay fixed rate of 5% pa. (m=2) on a 6M loan of
On 01.01.2020 company A has entered a FRA contract under which it will:
- pay fixed rate of 5% pa. (m=2) on a 6M loan of 1.000.000 EUR taken for a period 01.07.2020 - 31.12.2012, and
- receive floating WIBOR rate on a 6M loan of 1.000.0000 EUR given for a period 01.07.2020 - 31.12.2012.
Exchange of interest will be made at the begining of loaning period. No exchange of principals will be made during a FRA contract. What should be a net cash flow from the point of view of the company A on 01.07.2020, if the following qutations of WIBOR zero rates (pa., m=2) are known:
| Date | 3M | 6M | 9M | 1Y |
| 01.01.2020 | 3,00% | 3,81% | 4,35% | 5,32% |
| 01.07.2020 | 2,67% | 3,62% | 3,67% | 3,75% |
| 01.12.2020 | 2,83% | 3,01% | 3,75% | 3,94% |
| 31.12.2020 | 2,72% | 3,04% | 3,96% | 4,34% |
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Hungary And Other Emerging EU Countries In The Financial Storm From Minor Turbulences To A Global Hurricane Financial And Monetary Policy Studies
Authors: Julia Kiraly
2020th Edition
3030495434, 978-3030495435
