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The 6-month, 12 -month. 18-month, and 24 -month zero rates are 4%,5.%, 5.5%, and 6% with semi-annual compounding. (a) What are the rates with continuous
The 6-month, 12 -month. 18-month, and 24 -month zero rates are 4%,5.%, 5.5%, and 6% with semi-annual compounding. (a) What are the rates with continuous compounding? (b) What is the forward rate for the six-month period beginning in 12 months with continuous compounding? (c) What is the forward rate for the six-month period beginning in 12 months with semiannual compounding? (d) What is the value of an FRA where you will receive fixed 6% (compounded semiannually) on a principal of $1 million for the six-month period starting in 12 months
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