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Suppose that zero rates with continuous compounding are as follows: Maturity (Months) Rate (% per annum ) 3 8.0 6 8.2 9 8.4 12 8.5

Suppose that zero rates with continuous compounding are as follows:

Maturity (Months)

Rate (% per annum)

3

8.0

6

8.2

9

8.4

12

8.5

15

8.6

18

8.7

Calculate 3 month forward interest rates for the second, third, fourth, fifth and sixth quarters.

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