6) Suppose that zero interest rates with continuous compounding are as follows: Rate (% per annum) Maturity (months) 3 6 9 12 15 18 7.0 7.2 7.4 7.5 7.6 7.7 Assume that a bank can borrow or lend at the rates above. What is the value of an FRA where it will earn 8.0% (per annum with quarterly compounding) for a three-month period starting in nine months on a principal of $3,500,000? 6) Suppose that zero interest rates with continuous compounding are as follows: Rate (% per annum) Maturity (months) 3 6 9 12 15 18 7.0 7.2 7.4 7.5 7.6 7.7 Assume that a bank can borrow or lend at the rates above. What is the value of an FRA where it will earn 8.0% (per annum with quarterly compounding) for a three-month period starting in nine months on a principal of $3,500,000