What is the rate on a synthetic FRA for a 180-day loan commencing on day 180? Suppose

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What is the rate on a synthetic FRA for a 180-day loan commencing on day 180? Suppose you are the counterparty for a borrower who uses the FRA to hedge the interest rate on a $10m loan. What positions in zero-coupon bonds would you use to hedge the risk on the FRA?
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Derivatives Markets

ISBN: 9789332536746

3rd Edition

Authors: Robert McDonald

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