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Assume that a bank can borrow or lend money at the same interest rate in the LIBOR market. The 90-day rate is 9% per annum,

Assume that a bank can borrow or lend money at the same interest rate in the LIBOR

market. The 90-day rate is 9% per annum, and the 180-day rate is 9.5% per annum, both

expressed with continuous compounding and actual/actual day count. The Eurodollar

futures price for a contract maturing in 91 days is quoted as $90. What arbitrage

opportunities are open to the bank?

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