Suppose that risk-free rates are as in Problem 4.30. What is the value of an FRA where
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Suppose that risk-free rates are as in Problem 4.30. What is the value of an FRA where the holder pays LIBOR and receives 7% (semiannually compounded for a six-month period beginning in 18 months. The current forward rate for this period is 6% (semiannually compounded). The principal is $10 million
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