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The three - month Eurodollar futures price for a contract maturing in eight years is quoted as 9 6 . 0 0 . The standard
The threemonth Eurodollar futures price for a contract maturing in eight years is quoted as The standard deviation of the change in shortterm interest rate in one year is In this case T is eight years, and T is years. How much is the futures rate with continuous compounding? How much is the futures rate with the real day count and continuous compounding?
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