. Suppose that zero interest rates with continuous compounding are as follows: Maturity (months) Rate (% per annum) 3 4.0 6 4.3 9 4.5 12 5.0 a) Calculate forward interest rates for the second, third and fourth quarters. b) Assuming that zero rates are as in the table above, what is the value of an FRA that enables the holder to earn 4.25% for a three-month period starting in six months on a principal of $1,000,000? The interest rate is expressed with quarterly compounding.