0
the formula is:
Notional principal [underlying market rate at expiration - FRA rate (days in underlying/360) / [1 + underlying market rate at expiration (days in underlying /360)]
So if your notional was AUD$10m; FRA rate quoted for say a 1/4 contract was 4%; market rate at expiration was 5%, then:
= 10m [0.05 - 0.04 (90/360) / [1+ 0.05 (90/360)
The Long would receive under this payoff scenario given market rates have increased.
NB 'underlying' refers to the reference interest rate, and 'days in underlying' refer to the term of this reference rate i.e 90-day BBSY
Still curious? Ask our experts.
Chat with our AI personalities
Professor
Jordan
CoachAdd your answer:
Earn +20 pts
When was Aud Folkestad born?
Aud Folkestad was born in 1953.
When did Aud Talle die?
Aud Talle died in 2011.
When did Aud the Deep-Minded die?
Aud the Deep-Minded died in 900.
What was the last rock concert at buffalo Memorial auditorium?
Okay so not really sure if you'd qualify it as a "Rock Concert" but I'm pretty sure it was Gloria Estefan. It was Gloria, in late August, 1996. Heard it was a great concert. There were 19 semi-trucks (I counted them) outside of the Aud the day of the show. There were two buses parked right behind the Aud -- one with her cast, and one with her. Other shows in the twilight summer of the Aud were Meatloaf, Rod Stewart, and a bloody UF contest that helped to result in the ban in New York State, which still exists today. Hope this was helpful to my fellow Aud lovers!
How do you unlock grudge matches in modnation racers?
you need to get gold on all the cups and you already have,there are 8
