Question
The LIBOR rates today for 2 and 6 months are 5.0% and 6.0%, respectively. If the 36 FRA contract initiated today has the rate of
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The LIBOR rates today for 2 and 6 months are 5.0% and 6.0%, respectively. If the 36 FRA contract initiated today has the rate of 5.5%, what should be the LIBOR rates today for 3 months? Assume all rates are continuously compounded annual rates.
A. 7% B. 5% C. 5.5% D. 6% E. 6.5% E is the answer, please show the solution.
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Finance For Growing Enterprises
Authors: Edward W. Davis, Roger Buckland
1st Edition
1138679941, 978-1138679948
