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You have entered into a 4/7 fra at a rate of 6.5% there are 91 days in the fra period. After three months the fra
You have entered into a 4/7 fra at a rate of 6.5% there are 91 days in the fra period. After three months the fra is now a 1/4 fra. If the one month libor rate is 5.6% and the four month libor rate is 7.1% what is the current value of the fra? Assume that the number of days in the first month is 30 and the notional amount of the fre is $10,000,000 A. $26,151 B. $-26,151 C. $26,775 D.$-26,775
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