The following term structure of LIBOR is given.

a. Find the rate on a new 6 ( 9 FRA.
b. Consider an FRA that was established previously at a rate of 5.2 percent with a notional amount of $30 million. The FRA expires in 180 days, and the underlying is 180-day LIBOR. Find the value of the FRA from the perspective of the party paying fixed and receiving floating as of the point in time at which this term structure applies?

Transcribed Image Text:

Ter 90 days 180 days 270 days 360 days Rate 6.00% 6.20% 6.30% 6.35%