单选题
A 60-day $10 million forward rate agreement (FRA) on 90-day London Interbank Offered Rate (LIBOR) (a 2 × 5 FRA) is priced at 4 percent. If 90-day LIBOR at the expiration date is 4.1 percent, the long:
A、
A. receives $2500.00.
B、
B. receives $2474.63.
C、
C. pays $2500.00.
【正确答案】
B
【答案解析】
[0.041 -0.040) × (90/360) × 10000000]/[ 1 +0.041 × (90/360) ] = $2474.63.
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