A $100,000,000 $3 \times 6$ FRA Has a Fixed Rate of 4

question 20

Multiple Choice

A $100,000,000 $3 \times 6$ FRA has a fixed rate of 4%. The first three-month period is for 91 days and the second one for 92 days. The 91-day Libor rate is 3% and the 183-day Libor rate is 3.5%. The value of this contract to the buyer of the FRA is

• A) \(- \$ 8913\)
• B) \(- \$ 4822\)
• C) \(+ \$ 3289\)
• D) \(+ \$ 5433\)

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Definitions:

Sample

A subset of individuals or items selected from a larger population for the purpose of statistical analysis.

Population

The entire group of individuals or instances about whom the data is collected for a statistical study.

Statistics

The science of collecting, analyzing, interpreting, and presenting data in order to make informed decisions based on numerical information.

Rewarding

Offering satisfaction, happiness, or benefit, especially in response to an action performed.