the annual forward rate for the second quarter is 4.15%. The period forward rate for quarter 2 is:   period forward rate = 4.15% ´ (91/360) = 1.0490%   Using the information presented above, lets illustrate the pricing of a 3v9 FRA. Simply put, using the forward rates implied by the Eurodollar CD futures contracts, we are asking what is the annualized implied 6- month LIBOR forward rate three months hence. Accordingly, the 3v9 FRA price is calculated as follows:   [(1.010490)(1.011628) - 1](360/183) = 0.043751 = 4.3751%         A couple of points should be noted here. First, in the U.S. money markets an Actual/360, day count convention is used but in the UK the day count convention is Actual/365. Second, in the calculation, the 183 days is the length of the 6-month period beginning three months from now. By the same reasoning, we can price a 3v12 FRA. In this illustra- tion, we are calculating the implied 9-month forward rate (annualized) three months hence. The price of a 3v12 is calculate as follows:   [(1.010490)(1.011628)(1.012062) - 1](360/275) = 0.045256 = 4.5256%   Exhibit 11.11, Panels A, B, and C present three Bloomberg screens of bid/ask rates for FRAs for various maturities and currencies. These data are supplied to Bloomberg by Tullett and Tokyo Forex Interna- tional. The currencies are U.S. dollars, sterling, and euros, respectively. CHAPTER12 n addition to interest rate futures and FRAs, there are two additional derivative instruments used by money market participants to control their exposure to interest rate risk-swaps and caps/floors. These instru- ments have an important feature in common. Namely, both swaps and