The formula for calculating the payoff at expiration of a forward rate agreement (FRA) is: Notional Principal * [((Underlying rate at expiry - Forward Contract Rate) (Days in Underlying / 360)) / ((1 + Underlying Rate at expiration) (Days in Underlying Rate / 360))] Use the above formula to solve for the payment at expiration of an investor who went long a 3 x 9 FRA with a notional principal of $10MM where the 180-day LIBOR rate at expiration is 4.80 percent at the forward contract rate was set at 5.20 percent. A. -$588,235 B -$19,531 C. $19,493 The book says (B) My calculation: =10MM [((0.048-0.052)(180/360)) / ((1+0.048)(180/360))] =10MM [((-0.004)(0.5)) / ((1.048)(0.5))] =10MM [(-0.002) / (0.524)] =10MM [(-0.0038)] =-$38,167.94 Am I doing something wrong?

10MM [((0.048-0.052)(180/360)) / ((1+0.048)(180/360))] is wrongly written 10MM [((0.048-0.052)(180/360)) / ((1+0.048*180/360))] you divide by 1.024 = =-19531

You are correct. +1 to you.