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Suppose the risk-free rates are 6 month, 12 month, 18 month, and 24 month zero rates are 4%, 4.5%, 4.75%, and 5%,

with semiannual compounding. What is the value of an FRA where the holder pays LIBOR and receives 7% (semiannually compounded) for a six-month period beginning in 18 months? The current forward rate for this period is 6% (semiannually compounded) and the principal is INR 10 million.

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