Q2 (forward rate agreement) Suppose you observed an FRA has an interest rate (non-annualized) of 2% effectively for 3 months starting in 6 months but the corresponding implied forward rate (non-annualized) is 3% effectively for 3 months. To capture the arbitrage profit, you can (1) 6-month ZCB, and (2) 9-month ZCB, and borrow at the FRA rate. Your arbitrage profit in 9 months per dollar borrowed at the FRA rate is (3) A. long; short; 1 cent B. long; short; 4 cents C. short; long; 1 cent D. short; long; 4 cents