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Two banks want to trade an 18x24 month forward rate agreement. The continuously compounded zero spot rates are 6 months: 5.2%, one year: 5.3%, 18 months: 5.4%, and two years: 5.5%, all stated as annual rates. What rate will the

    • Two banks want to trade an 18x24 month forward rate agreement. The continuously compounded zero spot rates are 6 months: 5.2%, one year: 5.3%, 18 months: 5.4%, and two years: 5.5%, all stated as annual rates. What rate will the banks use in their forward rate agreement?
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Forward rate agreement rate 1 24 m View the full answer


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Options Futures and Other Derivatives

Options Futures and Other Derivatives

ISBN: 978-0134472089

10th edition

Authors: John C. Hull

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