When calculating the settlement payment on a long position in a London Interbank Offered Rate (LIBOR) -based forward rate agreement, the denominator is best described as :()
A. the interest differential between a loan made at the contract rate and one made at the market rate at contract expiration.
B. a discount factor based on LIBOR at settlement.
C. a discount factor based on the contract LIBOR rate.
参考答案：B
解析：
Since the interest differential between a loan made at the contract rate and one made at the market rate would be realized at the end of a loan period beginning at the settlement date, it must be discounted to get the value at the settlement date. The correct rate for this discounting is the actual rate ( market rate) at the settlement date. The interest differential is the numerator of the formula for calculating the settlement value.