The following term structure of LIBOR is given
|
Term
|
Rate
|
|
90 days
|
6.00%
|
|
180 days
|
6.20%
|
|
270 days
|
6.30%
|
|
360 days
|
6.35%
|
a. Find the rate on a new 6 x 9 FRA.
b. Consider an FRA that was established previously at a rate of 5.2 percent with a notional principal of $30 million. The FRA expires in 180 days, and the underlying is 180-day LIBOR.
Find the value of the FRA from the perspective of the party paying fixed and receiving floating as of the point in time at which the above term structure applies.