A Bank has entered in a long 180-day FRA on the 90-day Treasury rate with the agreed-upon
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A Bank has entered in a long 180-day FRA on the 90-day Treasury rate with the agreed-upon rate of 2.5 percent. The notional amount is $7.1 million. Calculate the value of the contract 90 days after the start of the FRA if the new forward rate for the same underlying is 2.58 and you know the following spot rates (as of day 90): 90-day: 2.35% 180-day: 2.4% 270-day: 2.73% 360-day: 2.5%
Calculate the amount you expect to receive on day 270 using the difference between the new forward rate and the agreed-upon rate. Discount it back from day 270 to day 90 using the rate that is for this interval = the Solution is 1,403.16 Provide a detailed answer
Related Book For
Introduction to Derivatives and Risk Management
ISBN: 978-1305104969
10th edition
Authors: Don M. Chance
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