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:


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