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Dear Mr. John,
kindly assist how to calculate forward rate for a 12v36 FRA to hedge against interest rate risk on its debt which matures in 3 years
details are:
credit spread:
year 1 23
2 29
3 36
4 44
5 53annual spot yield for gov bonds:
1 year – 3.6%
2 year – 3.9%
3 years – 4.3%
4 years – 4.8%
5 years – 5.4%
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