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2. The three-month Eurodollar futures price for a contract maturing in eight years is quoted as 96.00. The standard deviation of the change in
2. The three-month Eurodollar futures price for a contract maturing in eight years is quoted as 96.00. The standard deviation of the change in short-term interest rate in one year is 1.2%. In this case T1 is eight years, and T2 is 8.25 years. How much is the futures rate with continuous compounding? How much the forward LIBOR interest rate between T1 and T2?
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Financial Management Theory and Practice
Authors: Eugene F. Brigham, Michael C. Ehrhardt
15th edition
130563229X, 978-1305632301, 1305632303, 978-0357685877, 978-1305886902, 1305886909, 978-1305632295
