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3(c) Consider the following fixed-for-float forward rate agrement thatis expires/settles in 30 days:...

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Accounting

3(c) Consider the following fixed-for-float forward rate agrement thatis
expires/settles in 30 days:
is based on a notional prineple amount of $1 million,
is based on 90-diay LIBOR.
specifies a forward rate of 5%.
Assume that the actual 90-day LIBOR 30-days from expiration is 6%. Compute the cash
settlement payment at expiration and hence find the value of this forward rate agreement.
Also, Identify whether the long or short party position makes the payment.
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