Intro The 3-month Eurodollar futures price is quoted as 94.5 for a contract maturing in 8...
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Intro The 3-month Eurodollar futures price is quoted as 94.5 for a contract maturing in 8 years. The standard deviation of the changes in short-term interest rates in 1 year is 1.2%. Part 1 Attempt 1/10 for 10 pts. What is the forward rate from 8 and 8.25 years from the Eurodollar quote? 3+ decima Submit Part 2 Attempt 1/10 for 10 pts. What is the forward rate from 8 to 8.25 years with continuous compounding and an actual/365 day count? 3+ decima Submit Part 3 Attempt 1/10 for 10 pts. What is the value of the convexity adjustment (in absolute terms)? 5+ decima Submit Part 4 Attempt 1/10 for 10 pts. What is the forward LIBOR interest rate for the period between 8 and 8.25 years from now (with continuous compounding)? 3+ decima Submit Intro The 3-month Eurodollar futures price is quoted as 94.5 for a contract maturing in 8 years. The standard deviation of the changes in short-term interest rates in 1 year is 1.2%. Part 1 Attempt 1/10 for 10 pts. What is the forward rate from 8 and 8.25 years from the Eurodollar quote? 3+ decima Submit Part 2 Attempt 1/10 for 10 pts. What is the forward rate from 8 to 8.25 years with continuous compounding and an actual/365 day count? 3+ decima Submit Part 3 Attempt 1/10 for 10 pts. What is the value of the convexity adjustment (in absolute terms)? 5+ decima Submit Part 4 Attempt 1/10 for 10 pts. What is the forward LIBOR interest rate for the period between 8 and 8.25 years from now (with continuous compounding)? 3+ decima Submit
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