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PERIOD Futures Contract Expiration GE or ED Futures Expiration Date DAYS Time Span (T) in Days GE or ED Futures Price (F) Implied LIBOR or

PERIOD

Futures Contract Expiration

GE or ED Futures Expiration Date

DAYS

Time Span (T) in Days

GE or ED Futures Price (F)

Implied LIBOR or FRA Rate ( r ) = (100 - F)

1

EDM20

Monday, June 15, 2020

91

91

99.0000

2

EDU20

Monday, September 14, 2020

182

91

98.9000

3

EDZ20

Monday, December 14, 2020

273

91

98.8500

4

EDH21

Monday, March 15, 2021

364

91

98.7000

USE THE INFO ABOVE TO ANSWER QUESTIONS BELOW

8. If you could invest for each of the next two 91-day periods at the implied LIBOR or implied FRA rates as indicated by the EDM20 and EDU20 Eurodollar Futures Contract prices, then what would be your total 182-day rate of return?

9. What would be the Zero-Coupon bond price (or present value factor) associated with the 182-day period and interest rates from question 8?

10 Using the information from the table above, what would the non-arbitrage 1.50-year (1-1/2 year) interest rate swap fixed rate be? Assume today is June 17, 2019.

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