CFA SS 16 FRA #10 (pg 52 in the Derivatives book) INFO FOR FIXED 3X6 FRA 90 day Int 6% 180 day Int 6.14% INFO 30 days in 60 day 5.5% 150 day 5.62% I’ve been looking at this too long I think. I’ve gone through the problem 3X each and I’m not getting the same answers that they are and I think it’s more than just a rounding issue. I’m not getting the same figures they are for #9 or 10. Are you guys getting the exact figures they are??? For the fixed rate. I’m getting .06187192 For the rate 30 days in I’m getting .05648 .05648-.06187192= -.00539192 * 90/360 = .00134798 .0013478/ (1+ (.0562*.416667))] * 15,000,000 = 19,757
100 bucks off definitely rounding…
CP. Are you getting the same answers they are. I was further off in #9 You just ignoring the differences? I don’t use that crap ass formula they have so wondering if that’s gonna cause a problem.
I do not use their formula either. Problem 9: B: 6.03% (6.0282%) C: After 45 days: 6.2003% Market value: (0.062003-0.060282)*180/360*10,000,000/(1+(0.0615*315/360)) = 8166.44 they get 8100 For part D: 10753.94 - they get 10670.
Thanks CPK. If you’re ever in Denver I’ll buy you some beers. Little crap like this gets me side tracked because they aren’t calculating crap right.