Does anyone have any good guidance here? I am having some trouble understanding this…

Like all of accounting or…Forward Rate Agreements?


lol one is more of an issue id say than the other at this point in time!

No - forward rate agreements…

I guess knowing that the LIBOR curve is annualized, and that you have to de-annualize it is a bit tricky, and then re-annualize for your answer…

For Derivatives, always a LIBOR rate is used multiply the rate for the number of days until maturity and divide by 360

r = LIBOR * d/360

once you have done all the calculations needed remember to annualize the rate of the Swap or FRA for comparability



A good tip regarding FRA is to remember that on a JxK FRA the payment is made on Month J, therefore always discount the interest savings (which will occur on K months ) due to the FRA to period J