The FRA payoff formula is as follows:
Notional Principal[((rate at xdate - forward rate)*(days/360))/(1+rate at xdate*(days/360))]
an example in the book states a 180 LIBOR of 6% at xdate, a 5.5% forward rate, and a notional of $10,000,000
The calculation therefore is as stated in the book:
$10,000,000[((.06-.055)(180/360))/(1.06(180/360))]
The book shows a payment of $24,272, where the calculation is actually $47,169.81
What am i missing |
发表于 2011-7-11 18:17
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