You Are Given the Following Data Concerning a 6×12 FRA

question 11

Multiple Choice

You are given the following data concerning a 6×12 FRA.The first six-month period is 182 days and the second is 183 days.The Libor rate for six months is 5% and for one year is 6%.The arbitrage-free price of the 6×12 FRA,assuming the Actual/360 day-count convention,is

• A)5.50%
• B)6.22%
• C)6.55%
• D)6.82%

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Definitions:

Labour Hours

measures the amount of work performed by employees, typically expressed in hours, and is often used to track productivity or allocate labor costs.

Milling Machine

A machine tool used to machine solid materials, typically by cutting, boring, drilling, or threading.

Raw Materials

Basic substances in their natural, modified, or semi-processed states used as inputs for manufacturing finished goods.

Labour

The effort exerted by humans, encompassing both physical and mental activities, in the creation of goods and services.