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6 . 2 2 . Suppose that the 3 0 0 day LIBOR zero rate is 4 % and Eurodollar quotes for contracts maturing in
Suppose that the day LIBOR zero rate is and Eurodollar quotes for contracts maturing in and days are and Calculate day and day LIBOR zero rates. Assume no difference between forward and futures rates for the purposes of your calculations.
Suppose that the day LIBOR zero rate is and Eurodollar quotes for contracts maturing in and days are and Calculate day and day LIBOR zero rates. Assume no difference between forward and futures rates for the purposes of your calculations.
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