标题: FRA payoff formula [打印本页]

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作者: prav_Cfa7    时间: 2011-7-11 18:17     标题: FRA payoff formula

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

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作者: MonkeyBusiness    时间: 2011-7-11 18:17

Denominator, it's 1+[(.06) x 180/360]

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作者: bluejazzy    时间: 2011-7-11 18:17

order of operations in the denominator, also CFAI book problems you have to use 5 decimal points to get correct answer

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