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You are a fixed income trader with Shadyguys Group. Today, you negotiated a forward rate arrangement where you will deposit $10 million at 4% for
- You are a fixed income trader with Shadyguys Group. Today, you negotiated a forward rate arrangement where you will deposit $10 million at 4% for 6 months starting 1 year from now. What will the forward arrangement settle for if the 6-month LIBOR on the dollar is 2% one year from now? (You may assume continuous compounding in your settlement calculations.)
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Guide To Financial Instruments General Characteristics Of Bonds Chapter 1 General Characteristics Of Bonds
Authors: Professional Risk Managers' International Association (PRMIA)
1st Edition
0071731881, 9780071731881
