Forward rate agreement, Show working. A forward rate

Forward rate agreement

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Reference no: EM131615707

Show working. A forward rate agreement (FRA) that expires in 180 days and is based on 180-day LIBOR is quoted at 3.0%. At expiration of the FRA, 180-day LIBOR is 3.5%. For a notional principal of $100 million the payoff of this FRA is closest to (use the PV of the FRA, that is, the formula in your book):

A. $124,224 B. $125,000 C. $150,000 D. $245,700

Reference no: EM131615707

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