 # 6x6 FRA

does anyone recall how to calculate this from the Sample exam?

A 6x6 FRA doesn’t exist.

mcpass Wrote: ------------------------------------------------------- > A 6x6 FRA doesn’t exist. so that’s a no

I have a derivs question from the sample – Price a 6x6 Euribor FRA???

a 6X6 FRA would mean that you have the option to enter into a contract 6 months from now, for a period of zero months, as the second numerical value is the first value (option time to expiration) PLUS the actual contract length (should you exercise the option). 6X9 FRA for example means you have a 6-month option to enter in to a 3 months contract (6+3=9, thus 6X9) C.

so the ans would be that price=o

The answer was 0.0444…does anyone remember this?

sure, its the usual formula :a= (1+360 day euribor), b= (1+180day euribor*.5) - calculate using: (a/b)-1 .then annualize it by doubling it.

wouldn’t that be a 6 X 12 FRA?/

it’s getting hot in here

Thanks, but can you explain that formula you used? Where does the .5 come from and why dont you adjust the numerator?

ofcourse.so it is indeed 6x12.i must be nuts.wtf is a 6x6 fra. please ignore my false confidence.geez