Suppose you are the counterparty for a lender who enters into an FRA to hedge the lending

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Suppose you are the counterparty for a lender who enters into an FRA to hedge the lending rate on $10m for a 90-day loan commencing on day 270. What positions in zero-coupon bonds would you use to hedge the risk on the FRA? Discuss.

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Derivatives Markets

ISBN: 978-0321543080

4th edition

Authors: Rober L. Macdonald

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Question Posted: Dec 18, 2015 05:00 AM

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Suppose you are the counterparty for a lender who enters into an FRA to hedge the lending

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We can find the implied forward rate using the following formula With the numbers of t...View the full answer

Derivatives Markets

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