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with solutions Consider Company A which on 01.01.2020 entered a 2Y FRA agreement under which in 1Y it will take a fixed rate based (3,6%
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Consider Company A which on 01.01.2020 entered a 2Y FRA agreement under which in 1Y it will take a fixed rate based (3,6% pa., annual compounding) and at the same time provide a LIBOR based 1Y loan of 100.000 GBP. Exchange of interest will be made at the end of a loan period. No exchange of principals will be realised during FRA conract. Calculate value of this contract on 01.01.2020 from perspective of Company A, if the following quotation of LIBOR zero-rates (pa., continuous compounding) is given on 01.01.2020: LIBOR zero Period rate 6M 12M 18M 3,00% 3,50% 3,80% 4,00% 24M O a. 542,38 GBP O b.-542,38 GBP O C. None of the answers provided. O d. -925,69 GBP O e. 925,69 GBP O f. -35,11 GBP O g. -444,09 GBP Oh. 35,11 GBP Oi. 444,09 GBPStep by Step Solution
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