What is the fra''s mark-to-market value

Reference no: EM133264447

A company enters into a Forward Rate Agreement (FRA) designed to receive a fixed rate of 2.3% per annum (with semi-annual compounding) on a notional of $100,000 for a 6-month period starting in 1 year and to pay LIBOR in return. The LIBOR curve is flat at 3.4% per annum for all maturities with semi-annual compounding. What is the FRA's mark-to-market value (in dollars) with a continuously-compounded discounting rate equal to 2.61% per annum for all maturities?

Reference no: EM133264447

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