What is the value of an fra where the holder pays libor

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Question 1: Suppose the risk-free rates are as in Problem 4.30. What is the value of an FRA where the holder pays LIBOR and receives 7% (semiannually compounded) for a six-month period beginning in 18 months? The current forward rate for this period is 6% (semiannually compounded) and the principal is $10 million.

Reference no: EM132566594

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