Question
Consider the data given below. Pfut is the price of a 90-day Eurodollar futures contract expiring on April 14, 2008. Date Pfut 16-10-07 95.39 17-10-07
Consider the data given below. Pfut is the price of a 90-day Eurodollar futures contract expiring on April 14, 2008.
| Date | Pfut |
| 16-10-07 | 95.39 |
| 17-10-07 | 95.515 |
| 18-10-07 | 95.57 |
| 11-04-08 | 97.285 |
| 14-04-08 | 97.2912 |
a) Assume that futures rate converged to the actual 90-day LIBOR rate at maturity. What is the 90-day LIBOR rate on April 14? b) What was the total profit/loss on April 14, 2008 of a futures contract entered on October 16, 2007?
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Environmental Finance And Investments
Authors: Marc Chesney, Jonathan Gheyssens, Anca Claudia Pana, Luca Taschini
2nd Edition
