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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