Question
Current LIBOR rates are quoted at 4% for 2 years and 5% for 2.25 years. If the standard deviation of the change in the short-term
Current LIBOR rates are quoted at 4% for 2 years and 5% for 2.25 years. If the standard deviation of the change in the short-term interest rate in one year is 2%, what would be the quoted price of a Eurodollar futures written on 3-month LIBOR starting 2 years from now?
A. 86.91 B. 87.04 C. 86.87 D. 85.82 E. 87.65
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The Evolution Of Nordic Finance
Authors: Steffen Elkiær Andersen
2011th Edition
0230241557, 978-0230241558
