单选题 An investor does research about forward rate agreement and takes a $1million short position in a forward rate agreement 3×9 quoted at 5% according to LIBOR. At expiration, the investor gathers the following rates:

Underlying Rate	Rate
30-day LIBOR	5.20%
60-day LIBOR	5.30%
90-day LIBOR	5.40%

The payoff for this investor is closest to:
A. $495.62
B. $500.00
C. $660.83

【正确答案】 A

【答案解析】[解析] FRA 3×9说明该远期利率协议是3个月的期限，针对6个月的LIBOR，所以取5.3%作为到期结算的LIBOR。
[1000000×(5.30%-5%)×60/360]/(1+5.30%×60/360)=500/1.00883=495.62。