The current forward-rate interest rate contract on the market named "3 to 6" ("3v6") is available at 4.45% / 5.04%. At t

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answerhappygod
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The current forward-rate interest rate contract on the market named "3 to 6" ("3v6") is available at 4.45% / 5.04%. At t

Post by answerhappygod »

The current forward-rate interest rate contract on themarket named "3 to 6" ("3v6") is available at 4.45% / 5.04%. At thesame time the current spot interest rates on this market are asfollows:
6 months spot rates - 4,62%/4,82%
9 months spot rates - 4,65%/4,85%
a) Calculate the current spot three-month rate for loanson this market (time convention is 30/360).
b) Describe for how long the loan is granted or thedeposit accepted in the described
forward-forward contract. When does it start andfinish?
c) If the investor wants to take out a loan in theanalysed forward-forward contract, describe
what operations and when the bank carries out to providethe client with f-f "3v6" loan.
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