The 3-month dollar LIBOR and the 6-month dollar LIBOR are 4.15% and 4.35%, respectively. What...
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The 3-month dollar LIBOR and the 6-month dollar LIBOR are 4.15% and 4.35%, respectively. What is the price of the 3x6 FRA? What is the FRA(0,h,m) notation for the 3x6 FRA? Suppose the 3x6 FRA settles against a spot LIBOR rate of 4.75%. What is the dollar value of the settlement value if the notional amount of the contract is $10,000,000? Assume a long position.
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