Question
The City of Calgary knows it will need to borrow $225 million in 6 months time for 3 months. The Treasurer is concerned that rates
The City of Calgary knows it will need to borrow $225 million in 6 months time for 3 months. The Treasurer is concerned that rates may rise, so he is buys a zero cost FRA using the term structure implied by the previous table of LIBOR rates (in Question 6). Suppose in 6 months, all interest rates have risen by 75 basis points. What is the cash flow to the City from this FRA?
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State Owned Enterprise In The Western Economies
Authors: Raymond Vernon , Yair Aharoni
1st Edition
0415727596,1317917685
