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Suppose 30 days after the FRA was initiated the ABC Bank wants to assess its...

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Finance

Suppose 30 days after the FRA was initiated the ABC Bank wants to assess its FRA position. The term structure of LIBOR has changed to:

image

What is the value of the FRA to the bank?

Term (days) 30 60 90 120 150 180 270 360 Rate (%) 2.3809 2.4606 2.5066 2.5711 2.5798 2.5848 2.6012 2.7836 Term (days) 30 60 90 120 150 180 270 360 Rate (%) 2.3809 2.4606 2.5066 2.5711 2.5798 2.5848 2.6012 2.7836

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