Question: 8) Suppose that zero interest rates with continuous compounding are as follows: Maturity (months) 3 6 9 12 Rate (% per annum) 9.0 9.2 9.4

8) Suppose that zero interest rates with continuous compounding are as

8) Suppose that zero interest rates with continuous compounding are as follows: Maturity (months) 3 6 9 12 Rate (% per annum) 9.0 9.2 9.4 9.5 9.6 9.7 Assume that a bank can borrow or lend at the rates above. What is the value of an FRA where it will earn 9.5% (per annum with quarterly compounding) for a three-month period starting in six months on a principal of $3,000,000

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