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- Feb 17th 2013, 10:08 AM #1

- Joined
- Sep 2012
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- Austria
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- 15

## Value of FRA

Hi guys,

I hope someone can help me with this question...

The company OMX enters into a forward rate agreement (long, with a notional of 5 Mio. Euros). The forward rate to borrow funds in 3 months for a period of 2 months is 4.25%. Today’s 3-month spot rate is 3.85% and today’s 5-month spot rate is 4.01%. After one month the forward rate to borrow funds in 2 months for a period of 2 months is 4.10%. The 4-month spot rate is 3.95%. What is the FRA’s current value?The company OMX enters into a forward rate agreement (long, with a notional of 5 Mio. Euros). The forward rate to borrow funds in 3 months for a period of 2 months is 4.25%. Today’s 3-month spot rate is 3.85% and today’s 5-month spot rate is 4.01%. After one month the forward rate to borrow funds in 2 months for a period of 2 months is 4.10%. The 4-month spot rate is 3.95%. What is the FRA’s current value?

Thx a lot...............