• 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?

Answer rating: 100% (QA)

Forward rate agreement rate 1 24 m... View the full answer