Suppose that zero intrest rates with continuous compounding are as follows:
Maturity Rate
6 6
12 6.2
18 6.4
24 6.6
A) What is the forward rate for the 6-month period starting in one year?
B) What is the forward rate with semiannual compounding?
C) There is an FRA that enables the holder to earn 7.2% (with semiannual compounding) for a 6-month period starting in one year on principal of $1 million.
What is the value of the FRA?