Question: Suppose that zero interest rates with continuous compounding are as follows: Maturity (months) Rate (% per annum) 6 6 12 6.2 18 6.4 24 6.6

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

Maturity (months)	Rate (% per annum)
6	6
12	6.2
18	6.4
24	6.6

There is an FRA that enables the holder to earn 7.40% (with semiannual compounding) for a 6-month period starting in 1.5 years on a principal of $1 million.

What is the value of the FRA? (please do not round during intermediate steps)

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