The 6-month, 12-month, 18-month, and 24-month zero rates are 2%, 2.5%, 2.75% and 3% respectively with semi-annual

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The 6-month, 12-month, 18-month, and 24-month zero rates are 2%, 2.5%, 2.75% and 3% respectively with semi-annual compounding.

a) Calculate the continuous compounding rates?

b) What is the forward rate for the six-month period beginning in 18 months?

c) What is the value of a forward rate agreement (FRA) that promises to pay you 4% (compounded semi-annually) on a principal of AUD 1 million for the six-month period starting in 18 months?

Posted Date: May 19, 2024 02:08 AM

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The 6-month, 12-month, 18-month, and 24-month zero rates are 2%, 2.5%, 2.75% and 3% respectively with semi-annual

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