标题: a question about LIBOR FRA [打印本页] 作者: chenzheruc 时间: 2013-5-13 16:22 标题: a question about LIBOR FRA
I don't quite understand why it is ``pay'' not ``receive'' here.....
Anyone knows why A is correct here?
Thanks very much!
Consider a $2 million FRA with a contract rate of 5% on 60-day LIBOR. If 60-day
LIBOR is 6% at settlement, the long will:
A. pay $3333
B. receive $3000
C. receive $3333
Correct: A作者: felix583 时间: 2013-5-15 15:52
Because a long position means paying floating and receive fixed.
(0.05-0.06) * 60/360 *2,000,000 = -3,333
Negative sign means paying out.作者: felix583 时间: 2013-5-15 15:52
Because a long position means paying floating and receive fixed.
