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A corporation will receive USD7 million in 3 months time for a period of 3 months. The current 3-month interest rate quotes are 5.67-5.61. The
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A corporation will receive USD7 million in 3 months time for a period of 3 months. The current 3-month interest rate quotes are 5.67-5.61. The Eurodollar futures price is 94.90.
Suppose in 3 months the interest rate becomes 5.25% for 3-month Eurodeposits and the Eurodollar futures price is 94.56.
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How many ticks has the futures price moved?
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How many futures contracts should this investor buy or sell if she wants to lock in the
current rates?
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What is the profit (loss) for an investor who bought the contract at 94.90?
A corporation will receive USD7 million in 3 months time for a period of 3 months. The current 3-month interest rate quotes are 5.67-5.61. The Eurodollar futures price is 94.90.
Suppose in 3 months the interest rate becomes 5.25% for 3-month Eurodeposits and the Eurodollar futures price is 94.56.
-
How many ticks has the futures price moved?
-
How many futures contracts should this investor buy or sell if she wants to lock in the
current rates?
-
What is the profit (loss) for an investor who bought the contract at 94.90?
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