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Extra Credit. You get long $10 million notion of a 0.25 tenor Payer FRA starting...

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Extra Credit. You get long $10 million notion of a 0.25 tenor Payer FRA starting in 3.00 Years. Your trading assistant spills coffee on your keyboard. The IT department replaces your keyboard, but afterward the market has moved. Use the following data and determine how much money you have made or lost in this trade. (, ) = 0.25 , = 3.00 , = 3.25 , = 5.415% Note: the yield curves below quote rates as annual effective yield in the way we defined in class.image

1eS Your trading assistant spills coffee on your keyboard. The IT department but afterward the market has moved. Use the following data and detern you have made or lost in this trade. t(T,S) = 0.25 Years, T = 3.00 Years, S = 3.25 Years, K Note: the yield curves below quote rates as annual effective yield" in th class. 0.250 0.500 0.750 1.000 1.250 1.500 1.750 2.000 2.250 2.500 2.750 3.000 3.250 3.500 3.750 4.000 4.250 4.500 4.750 5.000 Y(t,T) 0.319% 0.363% 0.418% 0.486% 0.650% 1.054% 1.496% 1.903% 2.237% 2.537% 2.783% 2.975% 3.169% 3.302% 3.330% 3.410% 3.490% 3.570% 3.650% 3.730% Y(t,T) After Coffee Incident 0.419% 0.463% 0.518% 0.586% 0.750% 1.154% 1.596% 2.003% 2.337% 2.637% 2.883% 3.075% 3.269% 3.402% 3.430% 3.510% 3.590% 3.670% 3.750% 3.830%

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