Suppose you are the counterparty for a lender who enters into an FRA to hedge the lending

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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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Derivatives Markets

ISBN: 9789332536746

3rd Edition

Authors: Robert McDonald

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