If the (1,1 $\sigma = 0.15$ ,And the One-Year Spot Rate Is 4%,what Is the NPV

Multiple Choice

If the (1,1.5) -year forward rate is lognormal with volatility $\sigma = 0.15$ ,and the one-year spot rate is 4%,what is the NPV of a $100,000-notional $12 \times 18$ -FRA at a 5% strike rate if the (1,1.5) -year forward rate is 6%,as seen from the buyer's point of view? (Assume the Black model applies for interest-rate options. )

A) $- \$ 470.88$
B) $0
C) $475.61
D) $480.39