A notional amount of $200 million 3v6 FRA is set at the rate of 6.5%. The market

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A notional amount of $200 million 3v6 FRA is set at the rate of 6.5%. The market maker is exposed to the risk that interest rates will have raised by the FRA settlement date in 3 months' time. Suppose that the 3-month current spot rate is 5.75%.

Compute the hedge ratio for the risk.

Posted Date: May 16, 2024 05:01 PM

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A notional amount of $200 million 3v6 FRA is set at the rate of 6.5%. The market

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