Question
You entered receive-floating 6x9 FRRA with Kazakhstani tenge with a notional amount of KZT 20,000,000. 6 month spot KZT rate was 1.256% and 9 month
You entered receive-floating 6x9 FRRA with Kazakhstani tenge with a notional amount of KZT 20,000,000. 6 month spot KZT rate was 1.256% and 9 month – 1.424%. In addition, note that the 6.9 FRA is currently quoted in the market at the level of 1.754%. After ninety days passed, the 3 month KZT rate is 2.5% and 6 month rate – 2.7% (use as a discount to determine the value. Find the value of the original receive-floating 6x9 forward rate agreement.
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Statistics For Engineers And Scientists
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