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The 12-month LIBOR is 6% with continuous compounding, and the 12-month Eurodollar futures price is traded at 93.75. What should the 15-month spot rate be?
The 12-month LIBOR is 6% with continuous compounding, and the 12-month Eurodollar futures price is traded at 93.75. What should the 15-month spot rate be? If the Eurodollar futures price at maturity is 94.45, estimate the 3-month LIBOR in 12 months
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