wizofoz

Tell me where I'm wrong here:

The original FRA Rate (10B): 6.187%
The new FRA rate: [1 + (.0562)(150/360)] / [(1 + (.055)(60/360)] -1 x 360/90 x 100 = 5.483%

Value = [(.054833 - .06187)(90/360)] / [ 1 + (.0562)(150/360)] x 15M = -$25,795



Edited 1 time(s). Last edit at Wednesday, May 26, 2010 at 04:58PM by the show NY.