Question: Suppose that zero interest rates with continuous compounding are as follows: Maturity (months) Rate (% per annum) 3 3.0 6 3.2 9 3.4 12 3.5

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

Maturity (months)

Rate (% per annum)

3

3.0

6

3.2

9

3.4

12

3.5

15

3.6

18

3.7

Calculate forward interest rates for the second, third, fourth, fifth, and sixth quarters.

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