Suppose that the 9-month and 12-month LIBOR rates are 4% and 4.2%, respectively. What is the value of an FRA where 5% is received and LIBOR is paid on £1 million for the quarterly period? All rates are quarterly compounded and expressed as per annum. Assume that LIBOR is used as the risk-free discount rate. Select one: a. £478.115 b. £422.870 c. £479.062 d. £426.132

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