1. If you could invest for each of the next two 91-day periods at the implied LIBOR or implied FRA rates as indicated by the EDM20 and EDU20 Eurodollar Futures Contract prices, then what would be your total 182-day rate of return?

2. What would be the Zero-Coupon bond price (or present value factor) associated with the 182-day period and interest rates from question 8?

3. Using the information from the table above, what would the non-arbitrage 1.50-year (1-1/2 year) interest rate swap fixed rate be? Assume today is June 17, 2019

PERIOD	Futures Contract Expiration	GE or ED Futures Expiration Date	DAYS	Time Span (T) in Days	GE or ED Futures Price (F)	Implied LIBOR or FRA Rate (r) = (100 - F)
1	EDM20	Monday, June 15, 2020	91	91	99.0000
2	EDU20	Monday, September 14, 2020	182	91	98.9000
3	EDZ20	Monday, December 14, 2020	273	91	98.8500
4	EDH21	Monday, March 15, 2021	364	91	98.7000

Answer rating: 100% (QA)

ANSWER 1 r 100 EDM20 10 2 P 1001rT 1001191 9940 3 GE o... View the full answer