What is the forward libor rate for the period

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Reference no: EM132020081

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?

Reference no: EM132020081

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