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Business, 07.05.2020 12:58 codycollier

On May 15, 2000 you enter into a 1-year forward rate agreement (FRA) with a bank for the period starting November 15, 2000 to May 15, 2001. You will receive the forward rate and pay the floating rate in the FRA. You know that currently the price of the 6-month zero coupon is $96.79 and the price of the 1-year zero coupon is $93.51.

a. What is the agreed-upon forward rate in the transaction?

b. What is the value of the forward at inception?

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