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| An investor goes long an FRA that expires in 30 days for which the underlying is 90‐day LIBOR for a notional of $10 million. A dealer quotes this Instrument at 4.5%. At expiration, 60‐day LIBOR is 3.5% and 90‐day LIBOR is 4%. The payment made at expiration is closet to: A:$12,376 from the investor to the dealer. B:$12,376 from the dealer to the investor C:$16,570 from the investor to the dealer |
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