Consider the three-year swap shown in Exhibit 23-4. Suppose that one year later the Eurodollar CD futures
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Consider the three-year swap shown in Exhibit 23-4. Suppose that one year later the Eurodollar CD futures prices are as follows: Period 1 Day Count Futures Price 91 94 96.70 91 96.70 4 90 96.66 91 96.60 91 96.55 91 96.52 93 96.47 91 96.40 What is the value of the swap?
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