1 You have received the following information from your broker regarding spot rates 3 months KLIBOR 6 5 percent (90 days maturity) 6 months KLIBOR 8 5 percent (180 days maturity) a) Determine Implied Forward Rate for 90 days (6 marks) b) Calculate the correct price of 3 month KLIBOR futures contract (6 marks)

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1. You have received the following information from your broker regarding spot rates. 3 months KLIBOR = 6.5 percent (90 days maturity) 6 months KLIBOR

1. You have received the following information from your broker regarding spot rates.

3 months KLIBOR = 6.5 percent (90 days maturity)
6 months KLIBOR = 8.5 percent (180 days maturity)

a) Determine Implied Forward Rate for 90 days.

(6 marks)

b) Calculate the correct price of 3 month KLIBOR futures contract.

(6 marks)

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