To solve this problem, let's break it down step by step:

1. Given Data:

   • Notional principal: $3,000,000
   • FRA period: 92 days (three months starting three months from today and ending six months from today)
   • Agreement (fixed) rate: 5.55% (0.0555)
   • Settlement rate (three months from today): 6.15% (0.0615)
   • Year convention: 360 days in a year

2. Formula for the value of the FRA (which is essentially the settlement payment): $\text{Settlement amount} = \frac{\text{Notional Principal} \times (\text{Settlement Rate} - \text{Agreement Rate}) \times \frac{t}{360}}{1 + \text{Settlement Rate} \times \frac{t}{360}}$ Where:

   • $\text{Notional Principal} = 3,000,000$
   • $\text{Settlement Rate} = 6.15\% = 0.0615$
   • $\text{Agreement Rate} = 5.55\% = 0.0555$
   • $t = 92$ days (the number of days in the FRA period)

Let's calculate the value of the FRA.The absolute value of the FRA is $4,528.82.

Since the settlement rate (6.15%) is higher than the agreement rate (5.55%), the seller pays the buyer.

Would you like further details or have any questions?

Here are 5 related questions to consider:

1. How is an FRA different from a standard interest rate swap?
2. What is the significance of using a 360-day year in financial calculations?
3. How would the FRA value change if the settlement rate were lower than the agreement rate?
4. Can FRAs be used for other currencies besides the Eurodollar?
5. What is the impact of a longer FRA period on its value?

Tip: Always double-check whether the interest rates are annualized, and adjust for the actual days in the period when performing FRA calculations.