The FRA payoff formula is as follows: Notional Principal[((rate at xdate - forward rate)*(days/360))/(1+rate at xdate*(days/360))] an example in the book states a 180 LIBOR of 6% at xdate, a 5.5% forward rate, and a notional of $10,000,000 The calculation therefore is as stated in the book: $10,000,000[((.06-.055)(180/360))/(1.06(180/360))] The book shows a payment of $24,272, where the calculation is actually $47,169.81 What am i missing
Denominator, it’s 1+[(.06) x 180/360]
order of operations in the denominator, also CFAI book problems you have to use 5 decimal points to get correct answer