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You are taking a long position on Forward rate agreement 1 - 4, for 5 million dollars at 4.5%. 1 month later the 3-month Libor
You are taking a long position on Forward rate agreement 1 - 4, for 5 million dollars at 4.5%. 1 month later the 3-month Libor fixing is at 4%. What is your P&L? 6,188.1$ -6,188.1$ 6,3881$ -6,388.1$
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Contemporary Financial Management
Authors: R. Charles Moyer, William J. Kretlow, James R. Mcguigan
8th Edition
0324065914, 9780324065916
