So question from schweser:
What is the value of a 6.00% 1x4 (30 days x 120 days) forward rate agreement (FRA) with a principal amount of $2,000,000, 10 days after initiation if L10(110) is 6.15% and L10(20) is 6.05%?
I got the answer right by guessing on the meaing of the subscripts which doesnt seem too intuitive… but… what exactly dos the Lx(y) mean? The question refers to L10(110) and L10(20)
My assumption is L10(110) means libor 110 day rate and L10(20) means libor 20 day rate, but the notation seems weird becuase of the first 10 sub in each of those.