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Polytot *June 04*

Sshady8y ago
Hi Moffat – In (a) i didn't understand working of interpolating 4 months forward rate
John MoffatJohn MoffatTutor8y ago#1
The difference between the 3 months and the 12 months rate is the difference for 9 months. So to get the 4 month rate (which is 1 month more than 3 month) you take the 3 months rate and adjust by 1/9 of the difference between the 3 month and 12 month rates.
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