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Assume that the risk free rates for maturities of 6, 12, and 18 months are 2.6%, 2.8%, and 2.9%, respectively (calculated from SOFR and continuously

Assume that the risk free rates for maturities of 6, 12, and 18 months are 2.6%, 2.8%, and 2.9%, respectively (calculated from SOFR and continuously compounded). What is the value of an FRA where the holder will receive SOFR and pay 3.2% (semi-annual compounded) for a six-month period starting in one year on a principal of $100,000,000?

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