L1 MOCK afternoon q94 contract, receive, principal, agreement, afternoon

carriezz

An investor enters into a 1X3 forward rate agreement a t a LIBOR rate of 1.5 percent. At expiration , the 60-day LIBOR rate is 1.7 percent and the 90-day LIBOR rate is 1.6 percent. Assuming the contract covers a 1 million dollar notional principal, what payment will the investor most likely receive?

 

A 249.00

B 332.39

C 333.33

 

 

答案是按60-day LIBOR 算的， 说不能用90-day 算。 我想问从题目里哪里看出是要用60-day 的？ 1X 3表示什么呢?

 

batman119

 1*3= 1*30 days from now ,then the rate for next 2*30-days rate (so the total period is 1+2=3)

rachel_

B

完完全全套书上的公式

carriezz

明白了 是1X3的意思没理解

impboy0225

1*3 means FRA maturing in 1 month, at which time a 2-month loan(60-day LIBOR) will be exchanged.