Question
You are given the following data concerning a 612 FRA. The first six-month period is 182 days and the second is 183 days. The Libor
You are given the following data concerning a 612 FRA. The first six-month period is 182 days and the second is 183 days. The Libor rate for six months is 5% and for one year is 6%. What is the FRA fixed rate assuming the Actual/360 day-count convention?
Note:I would appreciate it if any of you guys could show the equation so I can understand the problem. Thank you.
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Financial and Management Accounting
Authors: Pauline Weetman
7th edition
1292086599, 978-1292086590
