Hi all!
I have not expirience in FRA's trading at now, but trying to investigate.
How banks are hegde their FRA portfolio?
I know that FRA 3*6 can be synthetically construct from money market rates 3m and 6m, but what to do if in real market have not any liquidity in 3m and 6m tenor? And STIR futures are not trade too.
Anyone know how hedge it case?
Thanks.