Suppose we wish to borrow $10 million for 91 days beginning next June, and that the quoted

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Suppose we wish to borrow $10 million for 91 days beginning next June, and that the quoted Eurodollar futures price is 93.23.

a. What 3-month LIBOR rate is implied by this price?

b. How much will be needed to repay the loan?

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Derivatives Markets

ISBN: 9789332536746

3rd Edition

Authors: Robert McDonald

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Question Posted: Aug 12, 2015 02:34 AM

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Suppose we wish to borrow $10 million for 91 days beginning next June, and that the quoted

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a The Eurodollar futures price is 9323 Therefore we can use equation 520 of the main text to ...View the full answer

Derivatives Markets

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