Question
Two months from today you plan to borrow $3 million for 6 months at LIBOR. You hedge your interest rate risk with a euro dollar
Two months from today you plan to borrow $3 million for 6 months at LIBOR. You hedge your interest rate risk with a euro dollar futures contract priced at 93.6. If settled in arrears, what is your payment if the 6-month LIBOR is 2.5% in two months?
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The Oxford Handbook Of Hedge Funds
Authors: Douglas Cumming, Sofia Johan, Geoffrey Wood
1st Edition
0198840950, 978-0198840954
