Suppose that you enter a short position in a 2x6 FRA on June 15. The...
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Suppose that you enter a short position in a 2x6 FRA on June 15. The FRA is quoted at 4.75%. The two-month, six-month, and eight- month LIBOR rates are 4.35%, 5.45%, and 6.25%, respectively. There are 61 days until August 15, 183 days until December 15, and 244 days until next February 15. The fair price of the FRA is: O a. 4.280% b. 3.251% O c. 5.838% O d. 10.249% O e. 5.956%
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