请老师按李老师的讲法列出计算过程即可。Suppose we entered a receive-floating 6 × 9 FRA at a rate of 0.86%, with notional amount of C$10,000,000 at Time 0. The six-month spot Canadian dollar (C$) Libor was 0.628%, and the nine-month C$ Libor was 0.712%. Also, assume the 6 × 9 FRA rate is quoted in the market at 0.86%. After 90 days have passed, the three-month C$ Libor is 1.25% and the six-month C$ Libor is 1.35%, which we will use as the discount rate to determine the value at g. We have h = 180 and m = 90.
Assuming the appropriate discount rate is C$ Libor, the value of the original receive-floating 6 × 9 FRA will be closest to:
A.C$14,500.
B.C$14,625.
C.C$14,651.
