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Hi John, please assist.
3 months forward 1.9066-1.9210
1 year forward 1.8901-1.8945
This is for a $ payment.How do i calculate 5 month’s rate?
Thank you
You apportion linearly between the 3 month and the 12 month forward rates.
There is 9 months difference between them, so you take the 3 month rate and add on 2/9 of the difference between the rates so as to get a 5 month rate.
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