Question
Suppose that a party wanted to enter an FRA that expires in 121 days and is based on 97-day LIBOR. The dealer quotes a rate
Suppose that a party wanted to enter an FRA that expires in 121 days and is based on 97-day LIBOR. The dealer quotes a rate of 0.036 on the FRA. Assume that at expiration, the 97-day LIBOR is 0.058, and the notional amount is USD10,000,000. What is the payoff of the FRA short position?
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Public Finance In Canada
Authors: Harvey S. Rosen, Wen, Snoddon
4th Canadian Edition
0070071837, 978-0070071834
