1. On January 2, a bank sells a 2 × 5 FRA. e contracted forward
rate is 5.34%. e principal amount is INR 1 million. On the
settlement date, the spot MIBOR rates are:
Maturity Rate
1 month 4.85%
2 months 4.92%
3 months 4.95%
4 months 5.01%
5 months 5.04%
6 months 5.08%
e reference rate for the loan in the market is MIBOR +
50 basis points.
What amount would the bank pay or receive on the
settlement date?
2. An Indian gold merchant enters into a contract to buy 200
ounces of gold from an Australian gold mining company at a
price of USD 910 per ounce, and the ...
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