The 5-month LIBOR rate is 3%, and the 2-month LIBOR rate is 2%, on the basis of

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The 5-month LIBOR rate is 3%, and the 2-month LIBOR rate is 2%, on the basis of continuous compounding and 365 days a year

1. Estimate the 3-month Eurodollar futures price quote for a contract maturing in 2 months.

2. If the Eurodollar futures price quote is 97, how would you arbitrage? Just state your transactions in the futures contract, the 5 month rate and the 2 month rate.

Related Book For answer-question

Fundamentals of Futures and Options Markets

ISBN: 978-0132993340

8th edition

Authors: John C. Hull

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Posted Date: Apr 26, 2020 06:32 AM

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The 5-month LIBOR rate is 3%, and the 2-month LIBOR rate is 2%, on the basis of

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a The forward interest rate for time periods 2 and 5 months is 9 pa cont... View the full answer

Fundamentals of Futures and Options Markets

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