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Assume that, as of today (time t), the annualised two-years interest rate (i2) is 10 percent, the one-year interest rate in 2020 (i1) is 8
Assume that, as of today (time t), the annualised two-years interest rate (i2) is 10 percent, the one-year interest rate in 2020 (i1) is 8 percent, and assume that the liquidity premium on a two-year security is 0.5 percent. What will be the one-year forward rate?
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