Chapter 6 Exercise 15,16, 20, 21  If the sixmonth interest rate
Task
In this assignment you will solve problems about InterestRate Futures, Forwards, and Swaps.
Instructions
Use your textbook to answer the following questions from Chapter 6:
Exercise 15, 16, 20, and 21.
Please, upload xls, xlsx file.
Please, use the full computing power of Excel.
Questions:
15. If the sixmonth interest rate is 6% and the oneyear interest rate is 8%, what is the rate for an FRA over the period from six months to one year? Assume that the number of days up to six months is 182 and from six months to one year is 183.
16. If the threemonth (91 days) Libor rate is 4% and the sixmonth (183 days) rate is 5%, what should be the 3°ø6 FRA rate? If, at the end of the contract, the threemonth Libor rate turns out to be 5%, what should the settlement amount be?
20. You enter into an FRA of notional 6 million to borrow on the threemonth underlying Libor rate six months from now and lock in the rate of 6%. At the end of six months, if the underlying threemonth rate is 6.6% over an actual period of 91 days, what is your payoff given that the payment is made right away? Recall that the ACT/360 convention applies.
21. You have entered into the 69 FRA of Question 20 at the rate of 6%. After three months, the FRA is now a 3 °ø 6 FRA. If the threemonth Libor rate is 5%, and the sixmonth Libor rate is 7%, what is the current value of the FRA? Assume that the number of days in the first three months is 92.

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Solution: Chapter 6 Exercise 15,16, 20, 21  If the sixmonth interest rate