Find the approximate market value of a long position in an FRA at a fixed rate of
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Question:
Find the approximate market value of a long position in an FRA at a fixed rate of 5 percent in which the contract expires in 20 days, the underlying is 180-day LIBOR, the notional amount is $25 million, the 20-day rate is 7 percent, and the 200-day rate is 8.5 percent.
Related Book For
Fundamentals of Investments Valuation and Management
ISBN: 978-0077283292
5th edition
Authors: Bradford D. Jordan, Thomas W. Miller
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