Return to Figure. Suppose the LIBOR rate when the first listed Eurodollar contract matures in January is

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Return to Figure. Suppose the LIBOR rate when the first listed Eurodollar contract matures in January is .40%. What will be the profit or loss to each side of the Eurodollarcontract?

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ISBN: 9780073530703

9th Edition

Authors: Zvi Bodie, Alex Kane, Alan J. Marcus

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Question Posted: Jan 04, 2013 08:04 AM

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Return to Figure. Suppose the LIBOR rate when the first listed Eurodollar contract matures in January is

Question:

Contract Open Settle C interest Eurodollar(CME)-SI ,000,000, pts of 100% Jan 997350 99.7425 A 99.7350 99.7400 0025 123,985 March 99.6500 99.6600 99.6300 99.6550 0100 1,164,093 June 99.3100 99.3850 9.3000 99.3750 0550 849,109 Dec 98.4500 98.5900 98.4300 98.5800 1100 724,119

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The closing futures price will be 100 040 9960 ...View the full answer

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