What is the value of an fra that promises to pay 75


The three-year zero rate is 7% and the four-year zero rate is 8.0% (both continuously compounded). What is the value of an FRA that promises to pay 7.5% (quarterly compounded) on a principal of $100 million for the three-month period staring in fourth year?

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Financial Management: What is the value of an fra that promises to pay 75
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