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The following table shows the zero-coupon bond prices per $1 of maturity payment (i.e., the face value is $1 ) at different maturities. (a) Suppose
The following table shows the zero-coupon bond prices per $1 of maturity payment (i.e., the face value is $1 ) at different maturities. (a) Suppose you will receive $1 million 9 months later, and you would like to lend out the money at a fixed rate for 6 months. What should be the fixed effective interest rate for that 6-months period? No need to annualize the interest rate. Please input the answer in percentage without the \% sign (e.g. 8.12% as 8.12 ). (b) You use an FRA to achieve the goal. Suppose 9 months later, the 6-month annualized spot rate is 8%. What is the settlement amount of your FRA position if it is settled in arrears? Please input the answer in dollar (e.g., 8.12 dollars as 8.12). (c) You use an FRA to achieve the goal. Suppose 9 months later, the 6-month annualized spot rate is 8%. What is the settlement amount of your FRA position if it is settled at the start of the lending? Please input the answer in dollar (e.g., 8.12 dollars as 8.12)
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