Supposethatthe9-monthand12-monthLIBORrates are 2% and 2.3%, respectively. All rates are quarterly compounded. Assume that LIBOR is used as the risk- free discount rate.
- What is the forward LIBOR rate for the period between 9 months and 12 months?
- What is the value of an FRA where 3% is received and LIBOR is paid on $10 million for the period?