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Question 15 (a) It is 1 st May 2021, the 3 month (91 days) LIBOR spot interest rate is 7% and the 6 month (182

Question 15

(a) It is 1 st May 2021, the 3 month (91 days) LIBOR spot interest rate is 7% and the 6 month (182 days) LIBOR spot interest is 6%. Calculate the appropriate price of the 30th July LIBOR interest rate futures contract.

(b) Explain the rationale behind your result given that the contract size is for 1 million.

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