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Suppose that the 9 - month LIBOR zero rate is 4 . 8 % and Eurodollar quotes for contracts maturing in 9 - months and

Suppose that the 9-month LIBOR zero rate is 4.8% and Eurodollar quotes for contracts maturing in 9- months and 12-months are 94.88 and 94.75. Calculate the 12-month and 15-month LIBOR zero rates. Assume no difference between forward and futures rates for the purposes of your calculations.

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