Question: The 12-month LIBOR is 4% with continuous compounding, and the 12-month Eurodollar futures price is traded at 95.75. What should the 15-month spot rate be?

The 12-month LIBOR is 4% with continuous compounding, and the 12-month Eurodollar futures price is traded at 95.75. What should the 15-month spot rate be? If the Eurodollar futures price at maturity is 96.25, estimate the 3-month LIBOR in 12 months.

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