Answer-first summary for fast verification
Answer: investable in 12 months and matures in 15 months.
## Explanation In the Black model for valuing interest rate options: - The option has 1 year to expiration - The underlying is a 3-month MRR deposit - The FRA rate represents the forward rate starting at option expiration Since the option expires in 1 year, the FRA rate applies to a 3-month deposit that: - **Starts in 12 months** (at option expiration) - **Matures in 15 months** (12 months + 3 months) Therefore, the correct answer is C: investable in 12 months and matures in 15 months.
Author: LeetQuiz Editorial Team
Ultimate access to all questions.
A
investable in 3 months and matures in 12 months.
B
investable in 9 months and matures in 12 months.
C
investable in 12 months and matures in 15 months.
No comments yet.