单选题
A dealer quotes a forward rate agreement (FRA) expiring in 30 days, for which the underlying is 90-day LIBOR, at 4.5%. An investor shorts the contract and the dealer goes long for a notional principal of $15 million. At the expiration of the FRA the rate on 90-day LIBOR is 4.0%. The investor is most likely to:
【正确答案】
C
【答案解析】
C is correct because the party which is short the FRA will benefit from a rate decrease with payment based on the following calculation:
