Question
Suppose that a party wanted to enter an FRA that expires in 42 days and is based on 112-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 112-day LIBOR. The dealer quotes a rate of 0.0357 on the FRA. Assume that at expiration, the 112-day LIBOR is 0.0494, and the notional amount is USD15,000,000. What is the payoff of the FRA long position?
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The Value Investor's Handbook
Authors: Andrew P.C.
1st Edition
1098810449, 978-1098810443
