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Q5. Consider Exercise 4 again. Three months later (August 15, 2000) you have second thoughts and consider that maybe you should get out of the

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Q5. Consider Exercise 4 again. Three months later (August 15, 2000) you have second thoughts and consider that maybe you should get out of the transaction. You receive the data in the first two columns of Table 5.9 Table 5.9 Two Discount Curves 15, 2000 z (0,T) 09848 09692 0.9545 0.9402 z(0,T) 09844 0.9690 0.9531 0.9386 0.75 1.00 0.75 1.00 (a) What is the value of the FRA on August 15, 2000? You can try two different methods discussed in class (1) adding and subtracting notional amount approach, and (2) entering opposite FRA approach

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