Question: I do not understand how the book got 1,122.60 if someone could mathematically show me that would be great. UDICII Assuming that risk-free zero rates

I do not understand how the book got 1,122.60 if someone could mathematically show me that would be great.

UDICII Assuming that risk-free zero rates are as in Problem 4.5, what is the value of an FRA where the holder will pay LIBOR and receive 4.5% (quarterly compounded) for a threemonth period starting in one year on a principal of $1,000,000? The forward LIBOR rate for the three-month period is 5% (quarterly compounded). UDICII Assuming that risk-free zero rates are as in Problem 4.5, what is the value of an FRA where the holder will pay LIBOR and receive 4.5% (quarterly compounded) for a threemonth period starting in one year on a principal of $1,000,000? The forward LIBOR rate for the three-month period is 5% (quarterly compounded)

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