FRA Question

cpk123 - I don’t understand why we have to convert to future dates? it’s been a while since I took up derivatives. - Dinesh S

the interest differential is available in the future, but you are looking at the payoff today so notional * (fwd - current) * t/360 ------------------------------------------ (1 + fwd * t/260) = payoff amount…

sorry denominator should have 360 in it… not 260 as typed

Thanks cpk123 !! got it now…