Suppose that the 9-month and 12-month LIBOR rates 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?