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Suppose that the 9 - month LIBOR zero rate is 4 . 8 % and Eurodollar quotes for contracts maturing in 9 - months and
Suppose that the month LIBOR zero rate is and Eurodollar quotes for contracts maturing in
months and months are and Calculate the month and month LIBOR zero rates.
Assume no difference between forward and futures rates for the purposes of your calculations.
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