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Two banks want to trade an 18x24 month forward rate agreement. The continuously compounded zero spot rates are 6 months: 5.2%, one year: 5.3%, 18
- Two banks want to trade an 18x24 month forward rate agreement. The continuously compounded zero spot rates are 6 months: 5.2%, one year: 5.3%, 18 months: 5.4%, and two years: 5.5%, all stated as annual rates. What rate will the banks use in their forward rate agreement?
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Options Futures and Other Derivatives
Authors: John C. Hull
10th edition
013447208X, 978-0134472089
