6) Suppose that zero interest rates with continuous compounding are as follows: Maturity (months) 3...
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6) Suppose that zero interest rates with continuous compounding are as follows: Maturity (months) 3 6 9 12 15 18 Rate (% per annum) 5.0 5.2 5.4 5.5 5.6 5.7 Assume that a bank can borrow or lend at the rates above. What is the value of an FRA where it will carn 5.7% (per annum with quarterly compounding) for a three-month period starting in twelve months on a principal of $1,750,000
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