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Suppose that the forward rate today for one year, in a year ( the period between 1 year and 2 years ) in the future
Suppose that the forward rate today for one year, in a year the period between year and years in the future is with annual compounding and that sometime ago a company entered into an FRA where it will receive with annual compounding and pay SOFR market rate on a principal of $ million for the period. Today the year zero rate is
HINT: What is the value of the FRA this company has entered into to get paid now that the forward rates have gone from to now being Is the FRA MTM going to be positive or negative?
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