A fixed income trader at a large investment bank is evaluating the following FRA contracts: Period...
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A fixed income trader at a large investment bank is evaluating the following FRA contracts: Period 3 x 6 6x9 9 x 12 Close (%) 3.56 4.12 4.67 At date 0, 3-m LIBOR is 3.01%. The trader anticipates that LIBOR will increase over the next 3-months. Given the trader's outlook, which FRA. contract should she trade (long or short) and what will be the trader's payment or receipt (in arrears) if 3-m LIBOR settles at 3.21% in month 3? Assume a notional principle of $5 million. A fixed income trader at a large investment bank is evaluating the following FRA contracts: Period 3 x 6 6x9 9 x 12 Close (%) 3.56 4.12 4.67 At date 0, 3-m LIBOR is 3.01%. The trader anticipates that LIBOR will increase over the next 3-months. Given the trader's outlook, which FRA. contract should she trade (long or short) and what will be the trader's payment or receipt (in arrears) if 3-m LIBOR settles at 3.21% in month 3? Assume a notional principle of $5 million.
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Related Book For
Income Tax Fundamentals 2013
ISBN: 9781285586618
31st Edition
Authors: Gerald E. Whittenburg, Martha Altus Buller, Steven L Gill
Posted Date:
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