If the three-month (91 days) Libor rate is 4% and the six-month (183 days) rate is 5%,
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If the three-month (91 days) Libor rate is 4% and the six-month (183 days) rate is 5%, what should be the 3 × 6 FRA rate? If, at the end of the contract, the three-month Libor rate turns out to be 5%, what should the settlement amount be?
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As shown in the chapter the FRA rate k is given by the formula k BT1 BT2 BT2 360 X d where ...View the full answer
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