Question: Suppose that the forward rate for the period between time 1 year and time 2 years in the future is 5% (with semiannual compounding) and

Suppose that the forward rate for the period between time 1 year and time 2 years in the future is 5% (with semiannual compounding) and that sometime ago a company entered into an FRA where it will receive 6% (with semiannual compounding) and pay SOFR (market rate) on a principal of $100 million for the period. The 2-year risk-free rate is 5% (with continuous compounding). What is the value of the FRA?

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