Question
Suppose the forward SOFR rate for the period between 2 years and 2.5 years is 4% with semiannual compounding and that a company entered into
Suppose the forward SOFR rate for the period between 2 years and 2.5 years is 4% with semiannual compounding and that a company entered into a forward rate agreement where it will receive 4.8% with semiannual compounding and pay SOFR on the principal of $50 million for the period. The risk-free rate with continuous compounding is 4%. What is the value of the FRA?
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Financial Markets And Institutions
Authors: Stanley Eakins Frederic Mishkin
9th Global Edition
1292215003, 978-1292215006
