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Suppose a firm enters into a 6-month FRA where they agree to pay R FRA = 3.75% APR with semi-annual compounding on L=$6,000,000 starting 9-months

Suppose a firm enters into a 6-month FRA where they agree to pay RFRA = 3.75% APR with semi-annual compounding on L=$6,000,000 starting 9-months from today. Therefore T1 = 0.75, T2=1.25, and so the difference T2 - T1 = 0.5.

What is the value of their FRA position if, 1-month later, the relevant 6-month FRA rate is 3.85% and the continuously compounded per annum 14-month rate is 3.820%?

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