Question
Suppose that zero interest rates with continuous compounding are as follows: Maturity (months) Rate (% per annum) 3 6.0 6 6.1 9 6.3 12 6.4
Suppose that zero interest rates with continuous compounding are as follows:
| Maturity (months) | Rate (% per annum) |
| 3 | 6.0 |
| 6 | 6.1 |
| 9 | 6.3 |
| 12 | 6.4 |
| 15 | 6.5 |
| 18 | 6.6 |
Calculate forward interest rates for (enter the answer in percentage rounded to two decimals places):
The second quarter: %
The third quarter: %
The fourth quarter: %
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Research In Finance
Authors: John W. Kensinger
1st Edition
0857245414, 978-0857245410
