Suppose that the 3 month LIBOR is 6% and the 6 month LIBOR is 6.5% with continuous compounding. Consider an FRA where we will receive a rate of 7.5%, measured with quarterly compounding, on a principal of $1mil between the end of month 3 and the end of month 6.
What is the value of the FRA? (assume we know exp(0.0175)=1.017654,
    exp(-0.0325)=0.968022)