From the following GBP deposit rates: 1M (31-day) GBP deposits3.15% 2M (61-day) GBP deposits3.25% 3M (91-day) GBP deposits3.41% 4M (120-day) GBP deposits3.56% 5M (152-day) GBP deposits3.73% 6M (182-day) GBP deposits3.90% calculate the 3x4 forward-forward rate.
A) 3.410%
B) 3.977%
C) 3.996%
D) 3.997%

Question

Quizplus · Accepted Answer

The 3x4 forward-forward rate is calculated using the formula: [(1 + 4M rate * (120/360)) / (1 + 3M rate * (91/360))]^(360/29) - 1. Plugging in the given rates, the calculation results in approximately 3.997%.

From the Following GBP Deposit Rates: 1M (31-Day) GBP Deposits3