| Days | original | 30 days later | |
| 30 | 3.12% | ||
| 60 | 3.32% | ||
| 90 | 3.52% | ||
| 120 | 3.72% | 3.92% | |
| 150 | 3.92% | ||
| 180 | 4.12% | ||
| 2x5 FRA | 4.30% | (now 1x4 FRA) 4.14% | |
The current value of the $10 million FRA to the short position:
(4.30%-4.14%) * $10 million * (90/360) / (1+3.92%*(120/360))
= $3,948.4075
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