Question: NOTE: Questions 5 and 6 below are supposed to use the following information: Days to Maturity 90 180 270 360 Zero Coupon bond price

NOTE: Questions 5 and 6 below are supposed to use the following

NOTE: Questions 5 and 6 below are supposed to use the following information: Days to Maturity 90 180 270 360 Zero Coupon bond price 0.979431 0.96525 0.95238 0.93878 Q5. What is the rate on a synthetic FRA for a 180-day loan commencing on day 180? Suppose you are the counterparty for a borrower who uses the FRA to hedge the interest rate on a $10m loan. What positions in zero-coupon bonds would you use to hedge the risk on the FRA? Q6. Suppose you are the counterparty for a lender who enters into an FRA to hedge the lending rate on $10m for a 90-day loan commencing on day 270. What positions in zero-coupon bonds would you use to hedge the risk on the FRA?

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