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The time-to-maturity of a Eurodollars futures contract is 4 years, and the time-to-maturity of the rate underlying the futures contract is 4.25 years. The standard
The time-to-maturity of a Eurodollars futures contract is 4 years, and the time-to-maturity of the rate underlying the futures contract is 4.25 years. The standard deviation of the change in the short term interest rate is sigma = 0.011. What is the difference between the futures and the forward interest rate? A) 0.105% B) 0.103% C) 0.098% D) 0.093%
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