m同学2024-07-23 13:34:18

A company wants to borrow $10 million for 90 days starting in one year. To hedge the interest rate risk of the future borrowing, the company enters into a forward rate agreement (FRA) where the company will pay a fixed rate, R(k), of 5.0%. The FRA cash settles in one year; i.e., in advance (T=1.0) not in arrears (T=1.25). All rates are expressed with quarterly compounding. If the actual 90-day LIBOR observed one year forward turns out to be 6.0%, what is the cash flow settlement by the company under the FRA?老师这道题我可以这么理解吗：今天T0时刻这家公司进入了一个约定为未来1年后固定利率为5%的为期90天（0.25年）的远期合约，T2为合约到期时间，T1为提前结束/实际持有的时间。如果T1时，90天的年化浮动利率为6%，那么T1时刻的远期结算的现金流/payoff为多少？