Question: Assume all rates are continuously compounded. The 1-year LIBOR rate is 3% and the forward rate calculated from a 3-month Eurodollar futures contract that matures

Assume all rates are continuously compounded. The 1-year LIBOR rate is 3% and the forward rate calculated from a 3-month Eurodollar futures contract that matures in 1 year is 3.2%. Also, the forward rate calculated from a 3-month Eurodollar futures contract that matures in 15 months is 3.3%. What is the implied 18-month zero rate? 3.033% 3.040% 3.067% 3.083%

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