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What is the value of an FRA (entered some time ago) where the holder receives LIBOR at the fixed rate of 9% per annum (compounded
What is the value of an FRA (entered some time ago) where the holder receives LIBOR at the fixed rate of 9% per annum (compounded semiannually) for a six-month period on a principal of $1,000 starting one year from today? The forward LIBOR rate as of today is 7% per annum (compounded semiannually). The risk-free rate is currently 5% per annum with continuous compounding for all maturities.
$9.28
$9.12
$9.50
$8.63
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