Good FRA Q

If the quoted discount yield on a 128 day LIBOR $1 million T-bill descreases from 3.17% to 3.07%, how much has the holder of the T-bill gained or lost? a.) Lost $284 b.) Gained $800 c.) Gained $284 d.) Lost $800

I am getting Gained 400. May be I am doing something awfully wrong ! And why did you refer it to a FRA q ?


How is that D? I get the value $350

answer is C decrease in yields = increase for TBILL holder in the amount of (3.15%-3.07%) x (128/360) x 1,000,000= $284.444

There’s a typo in the question, the initial yield is written as 3.17 instead of 3.15 If you use 3.17 the answer comes to 355

nice catch nir, sorry bout that

Did anyone get this one?