Hi, I was going through an example in the CFAI material page 35 Part C - the solution seems to give the interest saving at expiry of the FRA being 22k, but doesn’t discount it back to T=20 - shouldn’t this be discounted using the current 190day euribor rate?
That 22k is already the value at the present (on day 20). It is derived from cash flows/interest payments which already have been discounted at their respective interest rate. So there’s no need to further discount that 22k.