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47
The yield curve is flat at 6% per annum. What is the value of an FRA where the holder receives interest at the rate of 8% per annum for a six-month period on a principal of $1,000 starting in two years? All rates are compounded semiannually.
A.$9.12
B.$9.02
C.$8.88
D.$8.63
A.$9.12
B.$9.02
C.$8.88
D.$8.63
Answer: D
The value of the FRA is the value of receiving an extra 0.5×(0.08−0.06)×1000 = $10 in 2.5 years. This is 10/(1.035) = $8.63
The value of the FRA is the value of receiving an extra 0.5×(0.08−0.06)×1000 = $10 in 2.5 years. This is 10/(1.035) = $8.63
Karteninfo:
Autor: CoboCards-User
Oberthema: Finance & Investment
Thema: Derivatives
Veröffentlicht: 27.10.2015