5. Recall the FRA problem presented as Example 11.2. Show how the bank can alternatively use a...
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5. Recall the FRA problem presented as Example 11.2. Show how the bank can alternatively use a position in Eurodollar futures contracts to hedge the interest rate risk created by the maturity mismatch it has with the $3,000,000 six-month Eurodollar deposit and rollover Eurocredit position indexed to three-month LIBOR. Assume that the bank can take a position in Eurodollar futures contracts that mature in three months and have a futures price of 94.00.
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ISE International Financial Management
ISBN: 9781260575316
9th International Edition
Authors: Cheol Eun, Bruce Resnick, Tuugi Chuluun
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