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Suppose the 3-month and 6-month spot rates are 1.0% and 1.4%, respectively (continuously compounded rates). An investor enters into an FRA in which she will

Suppose the 3-month and 6-month spot rates are 1.0% and 1.4%, respectively (continuously compounded rates). An investor enters into an FRA in which she will pay 1.6% on a principal of $5,000,000 between months 3 and 6. Calculate the value of the FRA.

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