Tag Info

New answers tagged

2

The FRA A FRA is an agreement to exchange cash flows; the FRA in question is: Start 15/9/14 End 15/5/15 which is 242 days. USD Money Market quoting is Actual/360, so the accrual factor here is 242/360 = 0.6722. The FRA cashflows, therefore, are: on 15/9/14, Fix pays $\$1m * (0.6722 * 0.05) = \$33,611.11$, and Float pays $\$1m * (0.6722 * L)$, where L ...


1

First, it's not a 8% loan. The .08 interest on 1.6 is 5%. It appears that it is coming from the $A (1) = 105$.



Top 50 recent answers are included