A LIBOR term structure is:

30 days: 4.15%

60 days: 4.25%

90 days: 4.35%

120 days: 4.55%

150 days: 4.60%

180 days: 4.75%

A company wants to lock in an interest rate today in order to lend $100,000 in four months. The borrower will pay us principal & interest 6 months from today.

Find pt. D

c) Describe the FRA position that these transactions replicate: A ---- position in a __X_-_FRA. d) Assume that instead of replicating it, you entered the FRA position you described in part c), with a notional amount of $100,000. If you would prefer to settle in cash at expiration, how much will you pay or receive if the relevant LIBOR rate at expiration is 3.5%? c) Describe the FRA position that these transactions replicate: A ---- position in a __X_-_FRA. d) Assume that instead of replicating it, you entered the FRA position you described in part c), with a notional amount of $100,000. If you would prefer to settle in cash at expiration, how much will you pay or receive if the relevant LIBOR rate at expiration is 3.5%