What is the payoff on a short position in the fra at


Suppose an investment manager wanted to enter into an FRA that expires in 185 days and is based on the 90-day LIBOR. The dealer quotes a rate of 5% on this FRA. Assume that on the settlement date, the 90-day LIBOR is 4.4% and the notional principal is $10 million.

What is the payoff on a short position in the FRA at settlement?

Request for Solution File

Ask an Expert for Answer!!
Financial Management: What is the payoff on a short position in the fra at
Reference No:- TGS02401417

Expected delivery within 24 Hours