Multiple Choice
The risk-free yield curve is flat at 6% per annum. What is the value of an FRA where the holder receives LIBOR at the rate of 9% per annum for a six-month period on a principal of $1,000 starting in two years? The forward LIBOR rate is 7%. All rates are compounded semiannually.
A) $9.12
B) $9.02
C) $8.88
D) $8.63
Correct Answer:
Verified
Correct Answer:
Verified
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