FRA question

Libor rates: 90 days: 2.6% 180 days: 2.5% 270 days: 2.37% 360 days: 2.34% what is the fixed rate of a 6x9 FRA? A. 2.0731% B. 2.0840% C. 2.7097% D 2.7278%

I’m going with B but I’m off a little but hopefully due to rounding…

GM, good work. you are correct. could you show your work? when the longer rates are lower than shorter rates, i get all thrown off. thanks much.


ignore… i think i got it. it’s been a while since i’ve done an FRA. Man, my retention issues are killing me.

I always start with longest period. 1) 270/360 * .0237 =.01778 2) 180/360 * .025 = .0125 3) Add 1 to both a and b and divide by each other (longest over shortest) 1.01778/1.0125 = 1.00521 4) Subtract off the 1 and multiply by 360 divided by the days in between the FRA’s (270-180= 90) -----> .00521 * 360/90 = .020840 That’s the one area of the deriv’s I can actually do. Ask me anything else in deriv’s and I’ll get it wrong i’m sure…

I’ve been trying to hunker down and having been on AF much. How did your SF exam go?

there’s no way a question like this will be asked. maybe a similar question where they give you 15 rates to “confuse” you

good point slash. they’ll have each of those 15 rates scattered throughout a 4 page, 60 paragraph vignette. always nice to dream though.

did not go well. got a 63%. but i think i’ve already found 2 errors on their test, we’ll see, i’ve sent them an email. i’m going to do another schweser or cfai online today. slash. yeah, i agree. it’s a pretty basic question they probably won’t ask. i just asked it because i hadn’t seen FRA in a while i needed to review it. when i saw the question, i kind of blanked for a minute. then figured it out. if i can’t do this problem, i sure in the hell won’t get a trickier one.