Question
Suppose 30-day forward rate agreement (FRA) on 6-month LIBOR sells for 5 percent. The notional principal is $1,000,000. What is the payoff for long if
Suppose 30-day forward rate agreement (FRA) on 6-month LIBOR sells for 5 percent. The notional principal is $1,000,000. What is the payoff for long if 6-month LIBOR is 6 percent at the end of 90 days?
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Financial management theory and practice
Authors: Eugene F. Brigham and Michael C. Ehrhardt
12th Edition
978-0030243998, 30243998, 324422695, 978-0324422696
