Given an FRA with the following terms: a. Notional principal = $20 million b. Reference rate =
Question:
Given an FRA with the following terms:
a. Notional principal = $20 million
b. Reference rate = LIBOR
c. Contract rate = Rk = .05 (annual)
d. Time period = 90 days
e. Day-count convention = Actual/365 Show in a table the payments and receipts for long and short positions on the FRA given possible spot LIBORs at the FRA’s expiration of 4%, 4.5%, 5%, 5.5%, and 6%.
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