You are paying 1,00% per annum paid semi-annually and receiving 6-month LIBOR on a USD 10,000,000.00 interest rate swap with exactly two years to maturity. 6-month LIBOR for the next payment date is fixed today at 0.95%. How would you hedge the swap using FRAs? How to hedge an IRS with a strip of FRAs?
A) buy a strip of 0x6, 6x12, 12x18 and 18x24 FRAs
B) sell a strip of 0x6, 6x12, 12x18 and 18x24 FRAs
C) buy a strip of 6x12, 12x18 and 18x24 FRAs
D) sell a strip of 6x12, 12x18 and 18x24 FRAs
Correct Answer:
Verified
Q229: What happens when the issuer of a
Q230: Today is Monday, 8th December. You sell
Q231: Cable is quoted at 1.5575-80 and you
Q232: A CD with a face value of
Q233: What is the Gold Offered Forward Rate
Q235: Which of the following is not transferable?
A)
Q236: An interest rate guarantee (IRG) is:
A) AnFRA
B)
Q237: The Interest Rate Parity Theorem should work
Q238: Which one of the following bullion coins
Q239: The Liquidity Coverage Ratio imposed by Basel
Unlock this Answer For Free Now!
View this answer and more for free by performing one of the following actions
Scan the QR code to install the App and get 2 free unlocks
Unlock quizzes for free by uploading documents