5 0 Problem 2 (15 points) You are given the following quote for Eurodollar futures prices on Wednesday, 10/24/18 Mosth Opem igh Low Last Change Settle atd Prior Day NOV 1897.3675 973775 973450 973575-0125 973575 68340 237757 DEC 18 97 2560 97 2700 97.2300 97 2550 -0100 97.2500 523,278 1,810,876 JAN 19 97 2150 97 2250 97.1950 97 2200 0100 97 2100 11228 ,00 Volume Open Interest John Jones wants to hedge a floating rate interest payment on a $2 million loan. The next quarterly interest payment is determined according to a 3-month LIBOR on a) rach December 1, 2018. How could he use Eurodollarfutures to do it? ag/sell , #sif au b) If he entred into the fut tion at Monday close of 97.275, what wold be his cash now due to marking to market on Tuesday and on Wednesday? Mordy 17.27S Werdg ,262 S- 010- 17,52 tion on Monday? e) What is the value of his autures poiti on Monday? Mondy d) If on December 1, 2018 the 3-month LIBOR turns out to be 2.95% pa, Eurodollar futures price 97.105 what would be the total cost to John Jones taking into account gains/losses on his hedg, plus the interest payment (disregard time value of money)? 17 0 5 0 Problem 2 (15 points) You are given the following quote for Eurodollar futures prices on Wednesday, 10/24/18 Mosth Opem igh Low Last Change Settle atd Prior Day NOV 1897.3675 973775 973450 973575-0125 973575 68340 237757 DEC 18 97 2560 97 2700 97.2300 97 2550 -0100 97.2500 523,278 1,810,876 JAN 19 97 2150 97 2250 97.1950 97 2200 0100 97 2100 11228 ,00 Volume Open Interest John Jones wants to hedge a floating rate interest payment on a $2 million loan. The next quarterly interest payment is determined according to a 3-month LIBOR on a) rach December 1, 2018. How could he use Eurodollarfutures to do it? ag/sell , #sif au b) If he entred into the fut tion at Monday close of 97.275, what wold be his cash now due to marking to market on Tuesday and on Wednesday? Mordy 17.27S Werdg ,262 S- 010- 17,52 tion on Monday? e) What is the value of his autures poiti on Monday? Mondy d) If on December 1, 2018 the 3-month LIBOR turns out to be 2.95% pa, Eurodollar futures price 97.105 what would be the total cost to John Jones taking into account gains/losses on his hedg, plus the interest payment (disregard time value of money)? 17 0