- This topic has 0 replies, 1 voice, and was last updated 10 years ago by
.
Viewing 1 post (of 1 total)
- Posts
Dear Mr. John,
kindly assist how to calculate forward rate for a 12v36 FRA to hedge against interest rate risk on its debt which matures in 3 years
details are:
credit spread:
year 1 23
2 29
3 36
4 44
5 53annual spot yield for gov bonds:
1 year – 3.6%
2 year – 3.9%
3 years – 4.3%
4 years – 4.8%
5 years – 5.4%
Viewing 1 post (of 1 total)
- You must be logged in to reply to this topic.