标题: FRA Schweser Practice Question [打印本页] 作者: rosemary2011 时间: 2011-7-13 16:53 标题: FRA Schweser Practice Question
Reading # 68, question 10:
Consider a $2MM FRA with a contract rate of 5% on 60-day LIBOR. If 60-day LIBOR is 6% at settlement, the long will:
B. Receive $3,300
(.06-.05)x(60/360)x$2MM x (1+.06/6) = $3300.33
I understand everything except discounting by 1.06/6. What's the 6 for?
I'm sure it's not that hard, I think my brain is just tired...作者: leadcfa 时间: 2011-7-13 16:53
6 is 60/360 the period you are discounting the interest by作者: ramdabom 时间: 2011-7-13 16:53
Again, I realize I'm probably just completely missing the point here, but that doesn't make sense to me. I get that it needs to be discounted back 60/360, but that's not = 6...作者: Finalnub 时间: 2011-7-13 16:53
it is 1/6 which is same as 6 in denominator...作者: sdada 时间: 2011-7-13 16:53
AH see, I knew I was being slow. Thank you so much.
