Question
Suppose that a party wanted to enter an FRA that expires in 42 days and is based on 102-day LIBOR. The dealer quotes a rate
Suppose that a party wanted to enter an FRA that expires in 42 days and is based on 102-day LIBOR. The dealer quotes a rate of 0.0397 on the FRA. Assume that at expiration, the 102-day LIBOR is 0.0294, and the notional amount is USD20,000,000. What is the payoff of the FRA short position?
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The Future For Investors
Authors: Jeremy Siegel
1st Edition
140008198X, 978-1400081981
