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Business, 14.12.2019 00:31 neerajnnp

Suppose that zero interest rates with continuous compounding are as follows: maturity (months)/ rate (% per annum): 3/ 8.0, 6/ 8.2, 9/ 8.4, 12/ 8.5, 15/ 8.6, 18/ 8.7 calculate forward interest rates for the second, third, fourth, fifth, and sixth quarters.
assume that a bank can borrow or lend at the rates above. what is the value of an fra where it will earn 9.5% for a 3-month period starting in 1 year on a principal of $1,000,000? the interest rate is expressed with quarterly compounding.

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