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Payoff in Arrears

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Suppose that the payment on the FRA is in arrears, that is, at day 210.

Then the investor who has purchased the FRA receives a payment on day 210 which depends on the 180 day LIBOR rate at day 30.

If at day 30, the 180 day LIBOR rate is 7%

How much will the long pay the short on day 210?

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Solution Summary

This solution contains explanations and calculations to determine how much will the long pay the short on day 21.

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Suppose that the payment on the FRA is in arrears, that is, at day 210.

Then the investor who has purchased the FRA receives a payment on day 210 which depends on the 180 day LIBOR rate at day ...

Purchase this Solution
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