Two banks want to trade a 6x24 month forward rate agreement. The continuously compounded zero spot rates
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Question:
Two banks want to trade a 6x24 month forward rate agreement.
The continuously compounded zero spot rates are: 6 months: 4.2%, one year: 4.3%, 18 months: 4.4%, and two years: 4.5%, all stated as annual rates.
What rate will the banks use in their forward rate agreement?
Related Book For
College Accounting A Practical Approach chapte
ISBN: 9780133791006
13th edition
Authors: Jeffrey Slater
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