Consider a 6×12 FRA Where the Underlying Six-Month Period Is

question 18

Multiple Choice

Consider a 6×12 FRA where the underlying six-month period is 183 days and the notional is $100.The FRA fixed rate is 5%.At maturity of the contract the underlying Libor for six months is 7%.What is the settlement amount on the FRA? Assume the Actual/360 convention.

• A)0.9683
• B)0.9687
• C)0.9817
• D)1.0167

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