Calculate the value of the pay-fixed 3 x 6 fra

Reference no: EM133264672

Question: A U.S. Corporation takes long position on a 3 x 6 FRA contract of $20,000,000 notional amount, based on 90-day LIBOR. The current LIBOR rates for 90 and 180 days are 5.4% and 5.9%, respectively a) Calculate forward rate at contract initiation. Assume that 20 days has passed into the life of FRA, with 70 days remaining and the 70-day LIBOR is 5.8% and 160-day LIBOR is 6.4% now after 20 days. b) Calculate forward rate after 20 days of contract initiation. c) Calculate the value of the pay-fixed 3 x 6 FRA after 20 days of contract initiation. d) Who will be in gain, the buyer or the seller of this FRA and why?

Reference no: EM133264672

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