Find the Approximate Market Value of a Long Position in an FRA

Multiple Choice

Find the approximate market value of a long position in an FRA at a fixed rate of 5 percent in which the contract expires in 20 days,the underlying is 180-day LIBOR,the notional amount is $25 million,the 20-day rate is 7 percent,and the 200-day rate is 8.5 percent.

A) $433,658
B) -$454,954
C) $322,819
D) -$322,819
E) $454,954