问题
单项选择题
Consider a $1 million 90-day forward rate agreement based on 60-day London Interbank Offered Rate (LIBOR) with a contract rate of 5 percent. If, at contract expiration, 60-day LIBOR is 6 percent, the short must pay:
A．
| A. $1652.89. |
B．
| B. $1650.17. |
C．
| C. $1572.33. |
答案
参考答案：B
解析：[ (0.06 -0.05) × (60/360) × 1000000] / [ 1 +0.06 × (60/360) ] = 1650.17.