Question 4.14 (Note: already completed 4.14 - this problem is just listed for reference to Question 4.15)

Suppose that risk-free zero interest rates with continuous compounding are as follows:

Maturity (Months)	Rate (% per annum)
3	3.0
6	3.2
9	3.4
12	3.5
15	3.6
18	3.7

(These are the calculated forward rates for the 2nd - 6th quarter)

2^nd quarter = 3.40%

3^rd quarter = 3.80%

4^th quarter = 3.80%

5^th quarter = 4.00%

6^th quarter = 4.20%

*********Question 4.15************ (This is the problem I need help with. Thank you! )

Assuming that SOFR rates are as in Problem 4.14 above, what is the value of an FRA where the holder will pay SOFR and receive 4.5% (quarterly compounded) for a three-month period starting in one year on a principal of $1,000,000?