A Eurodollar futures quote for the period between 5.1 and 5.35 year in the future is 97.1.

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A Eurodollar futures quote for the period between 5.1 and 5.35 year in the future is 97.1. The standard deviation of the change in the short-term interest rate in one year is 1.4%. Estimate the forward interest rate in an FRA.

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Options Futures and Other Derivatives

ISBN: 978-0134472089

10th edition

Authors: John C. Hull

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Question Posted: Feb 12, 2018 11:09 AM

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A Eurodollar futures quote for the period between 5.1 and 5.35 year in the future is 97.1.

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The futures rate is 29 ...View the full answer

Options Futures and Other Derivatives

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