Question: Determine the dollar settlement of the 3 x 6 FRA for the amount $300,000 assuming (a) the settlement occurs on the date of loan initiation and (b) if settlement occurs on the date of loan repayment. Use the following data to carry out the calculations. Interest rates are expressed as stated annual interest rates.
3 X 6 FRA rate Ft0 =b 4.38% and 3-m LIBOR rate Lt3 = 4.02%