A firm sells a “three against six” FRA at 7.5% (annualized) with the notional principal
Question # 00151363
Posted By:
Updated on: 12/13/2015 11:49 AM Due on: 01/12/2016
A firm sells a “three against six” FRA at 7.5% (annualized) with the notional principal of $2 million. At maturity the interest rate in the market is 6%. How much is the firm cash settlement for the FRA? (Assume dtm is 91 days.)
Your answer: $.____________
(Keep two decimals; DO include the “-” sign in your answer if the firm needs to make a payment.)
-
Rating:
/5
Solution: A firm sells a “three against six” FRA at 7.5% (annualized) with the notional principal