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A bank can borrow or lend at LIBOR. Suppose that the six - month rate is 5 % and the nine - month rate is
A bank can borrow or lend at LIBOR. Suppose that the sixmonth rate is and the
ninemonth rate is The rate that can be locked in for the period between six months
and nine months using an FRA is What arbitrage opportunities are open to the
bank? All rates are continuously compounded.
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