On January 15, 2007 (today = time 0), a firm is worried that the interest rate may decline in the next six months, when it will receive the payment from the sale of a piece of equipment. In particular, the firm will receive on July 15, 2007 a $200 million receivable that needs to be invested for another six months. The firm decides to go long on 90-day Eurodollar futures contracts (contract size is $1M). The quoted futures price on this day is $91.72. Over the life of the contract the prices move as given below:

15-Jan-07       91.72

16-Jan-07       91.88

17-Jan-07       91.65

15-July-07        93.59

 

How many futures contracts should the firm go long?