I use schweser and I didn’t find one in the notes…!
I’ve been through most of the schweser mocks and don’t think I’ve came accross one question on them
haven’t seen it yet
I’ve never seen FRA calculations at Level III.
If you’re concerned that they will appear, look here:
IMO the closest things are caps and floors in volume 5.
See the concept in Fixed income EOC
One of EOC solution B. Forward rates are derived from spot rates using arbitrage arguments. A forward spread, or an implied forward spread, can be derived in the same way. Also, forward rates were explained as basically hedgeable or breakeven rates—rates that will make an investor indifferent between two alternatives. For example, for default-free instruments a 2-year forward rate 3 years from now is a rate that will make an investor indifferent between investing in a 5-year zero-coupon default-free instrument or investing in a 3-year zero-coupon default-free instrument and reinvesting the proceeds for two more years after the 3-year instrument matures. A forward spread can be interpreted in the same way. For example, a 2-year forward spread 3 years from now is the credit spread that will make an investor indifferent to investing in a 5-year zero-coupon instrument of an issuer or investing in a 3-year zero-coupon instrument of the same issuer and reinvesting the proceeds from the maturing instrument in a 2-year zero-coupon instrument of the same issuer.
I was doing a question from schweser practice exam Vol 1and a calculation popped up. Anyways thanks a lot folks.
Example 1 of reading on futures and forwards is based on FRA. So I believe its still in curriculum…
Just got the same thing from Schweser Vol 1. I read the question and couldn’t believe they were asking to value an FRA. I thought that was done after L2. So, I guess it’s fair game according to Schweser but I’m not speding much time reviewing FRA valuation.