You have purchased a 3 x 6 FRA with a fixed rate of 2.5% on notional principal

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You have purchased a 3 x 6 FRA with a fixed rate of 2.5% on notional principal of $10 million. If the 3mth LIBOR spot rate falls to 1.75% in 3mths time, what will the payoff from the FRA be?

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Contemporary Engineering Economics

ISBN: 978-0136118480

5th edition

Authors: Chan S. Park

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Posted Date: May 30, 2023 06:24 AM

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You have purchased a 3 x 6 FRA with a fixed rate of 2.5% on notional principal

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Apologies for the confusion in my previous response Lets calculate the payoff correctly In a Forward ... View the full answer

Contemporary Engineering Economics

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