Question
Suppose that zero interest rates with continuous compounding are as follows: Maturity (months) Rate (% per annum) 3 3.0 6 3.2 9 3.4 12 3.5
Suppose that zero interest rates with continuous compounding are as follows:
| Maturity (months) | Rate (% per annum) |
| 3 | 3.0 |
| 6 | 3.2 |
| 9 | 3.4 |
| 12 | 3.5 |
| 15 | 3.6 |
| 18 | 3.7 |
Calculate forward interest rates for the second, third, fourth, fifth, and sixth quarters.
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Options Futures And Other Derivatives
Authors: John C. Hull
8th Edition
0132164949, 9780132164948
