What is the agreed upon forward rate in the transaction?
On May 15, 2000 you enter into forward rate agreement (FRA) with a bank for the period starting November 15, 2000 to May 15, 2001. The notional amount is 200M. The bank will pay you the forward rate while you pay the bank the future floating market rate. You agree upon a forward rate in the transaction (assume semi-annual compounding). You know that the current price of the 6-month zero coupon bond is $95.52. The price of the 1-year T-bill is $92.64. What is the agreed upon forward rate in the transaction?