Derivatives Q84

0. Which of the following is most likely true about a 30-day FRA on 90-day Labor? The forward rate is calculated based on:

  • Option : C
  • Explanation : This FRA expires in 30-days and is based on a 90-day loan which starts on day 30. The forward rate represents the rate which can be locked in today for a 90-day loan starting 30-days from today. This rate is calculated based on the 30-day spot rate and the 120-day spot rate.
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