5.The December Eurodollar futures price is F = 94.60.By the terms of the futures contract, the annual

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5.The December Eurodollar futures price is F = 94.60.By the terms of the futures contract, the annual Eurodollar (LIBOR) interest rate implied by this futures price is computed as 100 - F.

a)Interest rates for Eurodollars are quoted using the day count convention of ACTUAL / 360 (check the Math Review handout to make sure you understand this).How many dollars would you have to repay in principal and interest if you borrowed $1 million at this Eurodollar rate for 91 days?

b) What is the holding period rate you would be paying on the loan?

c)What is the true EAR on your loan?

Posted Date: Jun 05, 2024 11:10 PM

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5.The December Eurodollar futures price is F = 94.60.By the terms of the futures contract, the annual

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