Question
Suppose that a Eurodollar futures quote is 88 for a contract maturing in 60 days. What is the LIBOR forward rate for the 60- to 150-day period? Ignore the difference between futures and forwards for the purposes of this question.
Step 1
A Eurodollar futures quote of 88 implies an interest rate of 100 - 88 = 12%. This rate is an annualized rate based on a 360-day year. Show more…
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