the following instudent are traded on an Act/360 basis:
3m dep: 91days@4,5%
3-6 FRA: 92days@4,6%
6-9 FRA: 90days@4,8%
9-12 FRA: 92days@6%
What is the 1y ir on act/360 basis?
Applying the formula with T1=91/360, T2=92/360 ect
i however got 5,05%(didnt round it up at all) and the answer was 5.07%
Is there an efficient way to handle these things in the exam?
Many thanks and best regards
3m dep: 91days@4,5%
3-6 FRA: 92days@4,6%
6-9 FRA: 90days@4,8%
9-12 FRA: 92days@6%
What is the 1y ir on act/360 basis?
Applying the formula with T1=91/360, T2=92/360 ect
i however got 5,05%(didnt round it up at all) and the answer was 5.07%
Is there an efficient way to handle these things in the exam?
Many thanks and best regards
