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At date t = 0, we observe the following zero-coupon rates in the market: Liquidity Maturity R(0,t) Premium L(t) 1 4.00% 2 5.00% 0.200% 3

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At date t = 0, we observe the following zero-coupon rates in the market: Liquidity Maturity R(0,t) Premium L(t) 1 4.00% 2 5.00% 0.200% 3 3 5.50% 0.275% 4 5.80%0.325% 5 6.00% 0.350% Taking into account these liquidity premium, what is the 1-year maturity future rates expected by the market Fa(0,4,5)? 6.2322% 6.4538% 6.3801% 5.8096%

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