No.PZ2020021204000020 (问答题)来源: 原版书
In an FRA, an annualized rate of 3% will be received and six-month LIBOR will be paid on a principal of USD 5,000,000 for a six-month period starting in 18 months. If the annualized six-month forward rate in 18 months proves to be 3.5%, what is the settlement on the FRA? When is it made?
The USD settlement in 18 months is
((0.03 - 0.035) X 0.5 X 5,000,000)/(1 + 0.035 /2 )= -12285
It is settled in 18 months.
