Question
Suppose that the LIBOR zero rates with continuous compounding are as follows: Maturity (years from now) Rate (% per annum) 1 3.0 2 3.5 3
Suppose that the LIBOR zero rates with continuous compounding are as follows:
| Maturity (years from now) | Rate (% per annum) |
| 1 | 3.0 |
| 2 | 3.5 |
| 3 | 3.7 |
| 4 | 4.3 |
| 5 | 4.6 |
A. Convert the continuous compounded LIBOR forward rate for year 3 to an equivalent interest rate with annual compounding.
B. What is the value of the FRA contract today? Use the zero rates with continuous compounding in the table above.
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Routledge Handbook Of Financial Technology And Law
Authors: Iris Chiu, Gudula Deipenbrock
1st Edition
0367344149, 978-0367344146
