FRA interpolation

CFA Level II Derivatives
#1

Im trying to calculate a 6x12 FRA

The pricing is easy to do, but the question asks what the value of the FRA is after 45 days. No rates are given, so I have to interpolate. But Im not sure how to begin???

These are the rates and terms

30 days 6%

90 days 7.5%

180 days 7.75%

270 days 7.84%

365 days 8%

#2

Those are the rates at the inception of the FRA, or the rates 45 days after inception?

#3

Those are the rates at inception. They say supposedly the yield curve remains the same.

#4

Hey, I can’t give a concrete answer so take this with a pinch of salt, but presumably if the yield curve remains the same, the rates are the same except they must be dennualised at new times 45 days later

So where in the beginning the 180 day rate was 1+ (0.0775 x 180/360)

It will now be 1 + ( 0.0775 x 225/360).

Then proceed to calculate value at new rates.

I am sure S2000 will give clearer insight.

#5

My take on this is to calculate the value of the FRA without being 45days in then choose the answer choice that is lower than that figure ( especially that the yield curve stays the same) Cause if you are 45 days in you are likely to save less.