Calculate the price of a 1 × 4 FRA (i.e., a 90-day loan, 30 days from...
Calculate the price of a 1 × 4 FRA (i.e., a 90-day loan, 30 days from now). The current 30-day LIBOR is 4% and 120-day LIBOR is 5%.
Homework Answers
1 x 4 FRA = {(120 day factor/30 day factor)-1}*360/gap
120day factor =1+(0.05*120/360) i.e. 1.01667
30 day factor=1+(0.04*30/360) i.e.1.00333
1 x 4 FRA ={(1.01667/1.00333)-1} * (360/90) * 100
= 5.315%
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Calculate the price of a 1 × 4 FRA (i.e., a 90-day loan,
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