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The LIBOR rates today for 2 and 6 months are 5.0% and 6.0%, respectively. If the...

  1. The LIBOR rates today for 2 and 6 months are 5.0% and 6.0%, respectively. If the 3×6 FRA contract initiated today has the rate of 5.5%, what should be the LIBOR rates today for 3 months? Assume all rates are continuously compounded annual rates.

    A. 7% B. 5% C. 5.5% D. 6% E. 6.5%

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