US$ LIBOR interest rates on 2 October 2007 were:

one month 5.12625%

three months 5.24000%

six months 5.16250%

one year 4.97563%

1 Calculate the forward-forward interest rates:

(a) for two months, one month ahead;

(b) for three months, three months ahead;

(c) for six months, six months ahead;

(d) for nine months, three months ahead.