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Suppose that you enter a short position in a 2X6 FRA on June 15. The quoted at 4.75%. The two-monthsix month, and eight-month LIBOR rates
Suppose that you enter a short position in a 2X6 FRA on June 15. The quoted at 4.75%. The two-monthsix month, and eight-month LIBOR rates are 4.35%, 5.45%, and 6.25%, respectively. If there are 61 days until August 15,183 days until December 15and 244 days until next February 15calculate your payoffs at the maturity date of the FRA assuming a notional amount of \$1,000,000 if the four-month LIBOR rate on August 15 was 5.2% and the six-month LIBOR rate was 6.5%. a. -$ 1499.18 b-$ 3489.74 c. $2495.16 d. $1499.18 e. -$ 2495.16
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