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Suppose that zero interest rates with continuous compounding are as follows: Maturity (months) Rate (% per annum) 3 2.0 6 2.2 9 2.4 12

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Suppose that zero interest rates with continuous compounding are as follows: Maturity (months) Rate (% per annum) 3 2.0 6 2.2 9 2.4 12 2.5 15 2.6 18 2.7 Calculate forward interest rates for the second, third and fourth quarters. [6

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