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 Assume that a bank can borrow or lend at the rates above. What is the value of an FRA where it will earn 9.1% (per annum with quarterly compounding) for a three-month period starting in fifteen months on a principal of $2,000,000?

6) Suppose that zero interest rates with continuous compounding are as follows: Maturity (months) 3 6 9 12 15 18 Rate (% per annum) 8.0 8.2 8.4 8.5 8.6 8.7 Assume that a bank can borrow or lend at the rates above. What is the value of an FRA where it will earn 9.1% (per annum with quarterly compounding) for a three-month period starting in fifteen months on a principal of $2,000,000