FRA valuation example 4 pg 35 CFAI material
Hi,
I was going through an example in the CFAI material page 35 Part C - the solution seems to give the interest saving at expiry of the FRA being 22k, but doesn’t discount it back to T=20 - shouldn’t this be discounted using the current 190day euribor rate? |
发表于 2013-4-28 09:17
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