Question: Suppose that the nine-month LIBOR interest rate is 8% per annum and the six-month LIBOR interest rate is 7.5% per annum (both with actual/365 and

Suppose that the nine-month LIBOR interest rate is 8% per annum and the six-month LIBOR interest rate is 7.5% per annum (both with actual/365 and continuous compounding). Estimate the three-month Eurodollar futures price quote for a contract maturing in six months.

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