Questions

Question 1

A fund manager buys a 0R6 Interest Rate Forward with a notional amount of £50,000,000 with an FRA rate of 4.5%.
This is a 6 month forward rate starting today.
Todays date is 15 March 2017.
The settlement date is 17 March 2017 (T + 2).
The fixing date is 15 March 2017.
The maturity date is 15 September 2017 (in 6 months)
The reference rate is LIBOR
What is the settlement amount ?

= ( (settlement rate - FRA rate) * principal days ) / ( (365 * 100) + (days * settlement rate) )

Question 2

A fund manager buys a 3R9 Interest Rate Forward with a notional amount of £50,000,000 with an FRA rate of 4.5%.
This is a 6 month forward rate starting in 3 months time.
Todays date is 15 March 2017.
The settlement date is ?
The fixing date is ?
The maturity date is 15 December 2017 (in 9 months)
The reference rate is LIBOR
What is the settlement amount ?

Question 3

Can you calculate the 6R12 using the 0R6 and the 0R12 ?
The following equation must be true
( 1 + (0R6 * 0.5) ) * ( 1 + (6R12 * 0.5) ) = ( 1 + (0R12 * 1) )