What is the cash flow

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Suppose that on February 15 a firm enters a short FRA (i.e., receives fixed) with $100m notional value for the three-month period beginning on September 1 at the FRA rate of 1.5% (actual/360 day). Suppose 3-month LIBOR rate on September 1 (the settlement date) is 1.7%. Assuming settlement in advance, what is the cash flow and when does it occur? (There are 91 days from September 1 to December 1.)

Reference no: EM133121431

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