Question
Two months ago, Citigroup has sold a FRA(3,6) with a notional capital of euro 5 million and a fixed rate of 4.5%. The current FRA(1,4)
Two months ago, Citigroup has sold a FRA(3,6) with a notional capital of euro 5 million and a fixed rate of 4.5%. The current FRA(1,4) rate if equal to 3.9% and the Euribo:4months is equal to 3%.
a) Has the contract a positive or negative value for Citigroup?
b) Compute the market value of this contract.
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Financial Markets and Institutions
Authors: Jeff Madura
12th edition
9781337515535, 1337099740, 1337515531, 978-1337099745
