Question
Suppose that a party wanted to enter an FRA that expires in 42 days and is based on 138-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 138-day LIBOR. The dealer quotes a rate of 0.0479 on the FRA. Assume that at expiration, the 138-day LIBOR is 0.039, and the notional amount is USD15,000,000. What is the payoff of the FRA long position?
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Practical Finance For Property Investment
Authors: Craig Furfine
1st Edition
036733304X, 978-0367333041
