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Suppose that the forward LIBOR rate (quarterly compounded ) for the period between 12 months and 15 months is 3.5%, what is the value of
Suppose that the forward LIBOR rate (quarterly compounded ) for the period between 12 months and 15 months is 3.5%, what is the value of an FRA where 3% received and LIBOR is paid on $2 million for the same time period, assuming a 15 month zero rate of 2.5% with continuous compounding ?
Suppose that the forward LIBOR rate (quarterly compounded ) for the period between 12 months and 15 months is 3.5%, what is the value of an FRA where 3% received and LIBOR is paid on $2 million for the same time period, assuming a 15 month zero rate of 2.5% with continuous compounding ?
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Fundamentals of Corporate Finance
Authors: Berk, DeMarzo, Harford
2nd edition
132148234, 978-0132148238
