The 5-month LIBOR rate is 6%, and the 2-month LIBOR rate is 4%, on the basis of

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The 5-month LIBOR rate is 6%, and the 2-month LIBOR rate is 4%, on the basis of continuous compounding and 365 days a year

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

b) If the Eurodollar futures price quote is 91, 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: Nov 18, 2019 01:35 AM

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The 5-month LIBOR rate is 6%, and the 2-month LIBOR rate is 4%, on the basis of

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Step1 Calculate the forward rate f... View the full answer

Fundamentals of Futures and Options Markets

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