Suppose that a party wanted to enter an FRA that expires in 121 days and is based on 56-day LIBOR. The dealer quotes a rate of 0.033 on the FRA. Assume that at expiration, the 56-day LIBOR is 0.028,...

Extracted text: Suppose that a party wanted to enter an FRA that expires in 121 days and is based on 56-day LIBOR. The dealer quotes a rate of 0.033 on the FRA. Assume that at expiration, the 56-day LIBOR is 0.028, and the notional amount is USD10,000,000. What is the payoff of the FRA short position? |-7744.05