9. Assume the Eurodollar futures price at time t0 is 93.83 and the contract expires in 3

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9. Assume the Eurodollar futures price at time t0 is 93.83 and the contract expires in 3 months time

a. Calculate the 3-month forward rate implied by this price.

b. Calculate the repayment amount for bonds with maturities of 3, 6, 9 and 12 months if the investor bought $5 million future contracts.

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Principles Of Financial Engineering

ISBN: 9780123869685

3rd Edition

Authors: Robert Kosowski, Salih N. Neftci

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Question Posted: Oct 26, 2024 04:01 AM

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9. Assume the Eurodollar futures price at time t0 is 93.83 and the contract expires in 3

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Principles Of Financial Engineering

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