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A bank enters into a Forward Rate Agreement in which it agrees to pay the fixed rate f 3 m , 3 m = 2
A bank enters into a Forward Rate Agreement in which it agrees to pay the fixed rate fmm
in three months in exchange for the market rate with the same term. If in three months the projected interest rate is set at an interest period of days and a nominal value of are assumed,
a Calculate the value of the contract at the end of the period.
b Obtain the value of the contract at the beginning of the period of interest.
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