LIBOR Question

Good Student
Posts: 21
Joined: Fri Aug 17, 2012 3:27 pm

LIBOR Question

Postby d2syh » Sun Nov 11, 2012 12:38 pm

A bank has entered into a forward rate agreement to pay a fixed rate of 4.15 %( semiannually compounded) on $9 million between 6 and 9 months. If the LIBOR rates in 3 months, 6 months and 9 months are 5%, 4.5% and 3.5% respectively (continuously compounded rates). The value of forward rate agreement for the bank would be closest to:
Choose one answer.
a. Gain of $3500
b. Loss of $3500
c. Gain of $4300
d. Loss of $4300
The correct answer is B

Can you calculate the LIBOR rate at 6M and 9M?


Finance Junkie
Posts: 356
Joined: Wed Apr 11, 2012 11:26 am

Re: LIBOR Question

Postby content.pristine » Mon Nov 12, 2012 1:14 pm

This question is wrong.
Please refer to the post:


Return to “CFA Level I”


Global Association of Risk Professionals, Inc. (GARP®) does not endorse, promote, review or warrant the accuracy of the products or services offered by EduPristine for FRM® related information, nor does it endorse any pass rates claimed by the provider. Further, GARP® is not responsible for any fees or costs paid by the user to EduPristine nor is GARP® responsible for any fees or costs of any person or entity providing any services to EduPristine Study Program. FRM®, GARP® and Global Association of Risk Professionals®, are trademarks owned by the Global Association of Risk Professionals, Inc

CFA Institute does not endorse, promote, or warrant the accuracy or quality of the products or services offered by EduPristine. CFA Institute, CFA®, Claritas® and Chartered Financial Analyst® are trademarks owned by CFA Institute.

Utmost care has been taken to ensure that there is no copyright violation or infringement in any of our content. Still, in case you feel that there is any copyright violation of any kind please send a mail to and we will rectify it.