Determine the fixed rate on the FRA

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Reference no: EM132068917

1. Long position in an FRA expiring in 30 days where the underlying is 90-day LIBOR. The notional principle is $ 10,000,000. The term structure of interest rates is 12% for 30 days and 10.5% for 120 days.

2. Determine the fixed rate on the FRA.

3. Today is 27 days into the life of the FRA. Given the term structures of L₂₇(3)=10.6% and L₂₇(93)=10.55%, determine the value of the FRA from the point of view of the financial institution.

Reference no: EM132068917

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