Question: Suppose that zero interest rates with continuous compounding are as follows: Maturity (months) Rate (% per annum) 3 8.0 6 8.2 9 8.4 12 8.5

Suppose that zero interest rates with continuous compounding are as follows:

Maturity (months)

Rate (% per annum)

3

8.0

6

8.2

9

8.4

12

8.5

15

8.6

18

8.7

Calculate forward interest rates for the a) third and b) fifth quarters. Explain your work.

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