The 3-month Eurodollar futures price for a contract maturing in 6 years is quoted as 95.20. The

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The 3-month Eurodollar futures price for a contract maturing in 6 years is quoted as 95.20.

The standard deviation of the change in the short-term interest rate in I year is 1.1%. Estimate the forward LIBOR interest rate for the period between 6.00 and 6.25 years in the future.

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Options Futures And Other Derivatives

ISBN: 9780131499089

6th Edition

Authors: John Hull

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Question Posted: Oct 19, 2024 06:00 AM

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The 3-month Eurodollar futures price for a contract maturing in 6 years is quoted as 95.20. The

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Options Futures And Other Derivatives

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