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Suppose that the 9-month and 12-month LIBOR rates are 0.0135 and 0.0165, respectively. What is the value of an FRA where 0.0235 is received and

Suppose that the 9-month and 12-month LIBOR rates are 0.0135 and 0.0165, respectively. What is the value of an FRA where 0.0235 is received and LIBOR is paid on 8 million for the period? All rates are quarterly compounded. Assume that LIBOR is used as the risk-free discount rate.

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