Question
suppose that a party wanted to enter an FRA that expires in 121 days and is based on 64-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 64-day LIBOR. the dealer quotes a rate of 0.056 on the FRA. Assume that at expiration , the 64-day LIBOR is 0.03, and the notional amount is USD10,000,000. what is the payoff of the FRA short position?
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Pricing Analytics Models And Advanced Quantitative Techniques For Product Pricing
Authors: Walter R. Paczkowski
1st Edition
1138623938, 9781138623934
