Question: Suppose that three months have passed, so it is August 15, 2000. You are given the following data: What is the value of the forward

Suppose that three months have passed, so it is August 15, 2000. You are given the following data:

What is the value of the forward agreement? Round to three digits after the decimal. Remember that the notional is $100

Maturity Date

Z(0,T)

Nov 2000 (3 months)

0.9844

Feb 2001 (6 months)

0.9690

May 2001 (9 months)

0.9531

Aug 2001 (12 months)

0.9386

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