Question: Treasury zero rates for various maturities are given below (with semiannual compounding): What is the 2-year rate with continuous compounding? What is the 6-month forward

Treasury zero rates for various maturities are given below (with semiannual compounding):

What is the 2-year rate with continuous compounding?

What is the 6-month forward rate (with continuous compounding) from 1.5 to 2 years?

What is the 6-month forward rate (with semiannual compounding) from 1.5 to 2 years?

What is the value of an FRA with a principal of $150 million where the holder receives LIBOR and pays 4.2% (semiannually compounded) for a six-month period beginning in 1.5 years (in $ million)?

Maturity Zero rate (years) (semiannual) 0.5 3.9% 1 4.2% 1.5 4.3% 5% N Maturity Zero rate (years) (semiannual) 0.5 3.9% 1 4.2% 1.5 4.3% 5% N

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