A 60-day $10 million forward rate agreement (FRA) on 90-day London Interbank Offered Rate (LIBOR) (a 2 × 5 FRA) is priced at 4 percent. If 90-day LIBOR at the expiration date is 4.1 percent, the long:
A.
A. receives $2500.00. |
B.
B. receives $2474.63. |
C.
C. pays $2500.00. |
参考答案:B
解析:[0.041 -0.040) × (90/360) × 10000000]/[ 1 +0.041 × (90/360) ] = $2474.63.