Based on market quotes on Canadian dollar (C$) Libor, the six- month C$ Libor and the nine- month C$ Libor are presently at 1.5% and 1.75%, respectively. Based on the 30/360-day count convention, calculate the FRA fixed rate for 6 X 9 FRA. Suppose we entered a receive- floating 6 × 9 FRA at a rate of 0.86%, with notional amount of C$10,000,000 at Time 0. The six- month spot Canadian dollar (C$) Libor was 0.628%, and the nine- month C$ Libor was 0.712%. Also, assume the 6 × 9 FRA rate is quoted in the market at 0.86%. After 90 days have passed, the three- month C$ Libor is 1.25% and the six- month C$ Libor is 1.35%, which we will use as the discount rate to determine the value. Assuming the appropriate discount rate is C$ Libor, calculate the value of the original receive- floating 6 × 9 FRA.
Based on market quotes on Canadian dollar (C$) Libor, the six- month C$ Libor and the nine- month C$ Libor are presently at 1.5% and 1.75%, respectively. Based on the 30/360-day count convention, calculate the FRA fixed rate for 6 X 9 FRA.
Suppose we entered a receive- floating 6 × 9 FRA at a rate of 0.86%, with notional amount of C$10,000,000 at Time 0. The six- month spot Canadian dollar (C$) Libor was 0.628%, and the nine- month C$ Libor was 0.712%. Also, assume the 6 × 9 FRA rate is quoted in the market at 0.86%. After 90 days have passed, the three- month C$ Libor is 1.25% and the six- month C$ Libor is 1.35%, which we will use as the discount rate to determine the value. Assuming the appropriate discount rate is C$ Libor, calculate the value of the original receive- floating 6 × 9 FRA.
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