Consider the Eurodollar futures contract in Example 24 6 a Compute the time 1 futures rates in the up and down states s ifut(1) E R(2) b Compute the forward rate agreement rate at time 1 for maturity 2 in the up and down states Show that these two are the same because both contracts mature in one period

Question: Consider the Eurodollar futures contract in Example 24.6. a. Compute the time 1 futures rates in the up and down states s [ifut(1) = E[R(2)]].

Consider the Eurodollar futures contract in Example 24.6.
a. Compute the time 1 futures rates in the up and down states s [ifut(1) = Eπ[R(2)]].
b. Compute the forward rate agreement rate at time 1 for maturity 2 in the up and down states. Show that these two are the same because both contracts mature in one period.

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a The relevant quantities at time one are i fut 1 u 0500465 0500522 00494 i fut 1 d 05005... View full answer

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