can any one provide the explantion answert to the following questions
The following market data is available:
Spot USD/JPY 116.00
Deposit rates p.a. USD JPY
3 months 4.50% 0.25%
6 months 5.00% 0.25%
Forward Rate Agreement (FRA) for Yen is Nil.
1. What should be 3 months FRA rate at 3 months forward?
2. The 6 & 12 months LIBORS are 5% & 6.5% respectively. A bank is quoting 6/12 USD
FRA at 6.50 – 6.75%. Is any arbitrage opportunity available?
Calculate profit in such case.
From the following data for Government securities, calculate the forward rates:
Face value (`) Interest rate Maturity (Year) Current price (`)
1,00,000 0% 1 91,500
1,00,000 10% 2 98,500
1,00,000 10.5% 3 99,000
I am not unable to understand the concepts and answer given by institute
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