Question: Continuously compounded LIBOR spot rates per annum for 30- and 36-months are 2.63% and 2.92%. What is the 6-month forward rate 30 months from now?

  1. Continuously compounded LIBOR spot rates per annum for 30- and 36-months are 2.63% and 2.92%. What is the 6-month forward rate 30 months from now?

A.

2.8%

B.

4.4%

C.

4.1%

D.

5.1%

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