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The 9-month SOFR rate is 5%, and the 6-month SOFR rate is 4%, on the basis of continuous compounding and 365 days a year. Use
The 9-month SOFR rate is 5%, and the 6-month SOFR rate is 4%, on the basis of continuous compounding and 365 days a year. Use this information to answer this and the next question. The forward SOFR rate on a 3 month investment that starts in 6 months on a quarterly compounded basis and a 360 day year is closest to?
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Introduction to Operations Research
Authors: Frederick S. Hillier, Gerald J. Lieberman
10th edition
978-0072535105, 72535105, 978-1259162985
