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Intro The Eurodollar quote for a contract maturing in 240 days is 96.85 . The 240-day LIBOR zero rate is 4.5% (with continuous compounding). For
Intro The Eurodollar quote for a contract maturing in 240 days is 96.85 . The 240-day LIBOR zero rate is 4.5% (with continuous compounding). For the purpose of this problem, no adjustment is necessary for the difference between forward and futures rates. Part 1 - Attempt 1/5 for 10 pts. What is the forward rate from 240 to 331 days from the Eurodollar quote? What is the forward rate from 240 to 331 days with continuous compounding and an actual/365 day count? Part 3 Attempt 1/5 for 10 pts. What is the 331-day LIBOR zero rate (with continuous compounding)
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