Suppose that the 3 - year and 3 . 5 - year zero rates with continuous compounding
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Question:
Suppose that the year and year zero rates with continuous compounding are and respectively.
a What is the forward rate for the sixmonth period beginning in years Rfrom Year to Year with continuous compounding?
b What is the forward rate for the sixmonth period beginning in years Rfrom Year to Year with semiannual compounding?
c What is the Year value of an FRA that promises to pay the lender compounded semiannually on a principal of $ million for the sixmonth period starting in years from Year
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