Search results

  1. B

    Have I valued these Forward Rate Agreements correctly?

    Q1. Suppose a firm has purchased a 3s6s Forward Rate Agreement at a rate of 4% on a notional principal of €10m. Suppose at t=3, the 3 month spot rate is 4.7%. Calculate the payment made under the FRA. I worked out as follows: 10m * ((.047/4 - .04/4)/1+.047/4) = 17296.76303; The payment...
Top