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klio [65]
3 years ago
5

Suppose that 3 months ago you entered into an forward rate agreement, and that under the terms of the contract you will receive

7.2% per annum, with semiannual compounding, and pay LIBOR on a principal of $200 million for the period between time 1 year and time 1.5 years (from now). Suppose that the forward LIBOR rate for this period, with semiannual compounding, is 6.9% per annum. If the 1.5-year continuously compounded risk-free rate is 5.4%, what is the value of the forward rate agreement
Business
1 answer:
shusha [124]3 years ago
5 0
This is a lot of work
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