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.

zero rates with continuous compounding

3 month 8.0%

6 month 8.2%

9 month 8.4%

12 month 8.5%

15 month 8.6%

18 month 8.7%