Suppose that the 9-month SOFR interest rate is 8% per annum and the 6-month SOFR interest rate

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Suppose that the 9-month SOFR interest rate is 8% per annum and the 6-month SOFR interest rate is 7.5% per annum (both with actual>365 and continuous compounding).

Estimate the 3-month SOFR futures price quote for a contract maturing in 6 months.

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Options Futures And Other Derivatives

ISBN: 9780136939979

11th Edition

Authors: John C. Hull

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Question Posted: Mar 26, 2024 05:00 AM

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Suppose that the 9-month SOFR interest rate is 8% per annum and the 6-month SOFR interest rate

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Calculate the implied 3month SOFR rate for the period of the futures contract 3month SOFR rate for ...View the full answer

Options Futures And Other Derivatives

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