Assuming that risk-free rates are as in Problem 4.5, what is the value of an FRA where the holder will pay LIBOR and receive 4.5% (quarterly compounded) for a three-month period starting in one year on a principal of $1,000,000. The forward LIBOR rate for the three month period is 5% quarterly compounded.

Risk Free Rates from 4.5

Maturity(months)	Rate(% per annum)
3	3.0
6	3.2
3	3.4
12	3.5
15	3.6
18	3.7