The current LIBOR rates for maturities of three and six months are (4.3 %) and (4.7 %),
Question:
The current LIBOR rates for maturities of three and six months are \(4.3 \%\) and \(4.7 \%\), respectively (with continuous compounding). We also have the following eurodollar futures market quotes:
Price a risk-free bond maturing in one year, paying semiannual coupons, with coupon rate \(6 \%\). For the sake of simplicity, we ignore day counts and we assume that all months consist of 30 days. Furthermore, we assume that there is no significant difference between forward and futures rates.
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Related Book For 
An Introduction To Financial Markets A Quantitative Approach
ISBN: 9781118014776
1st Edition
Authors: Paolo Brandimarte
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