Question
Two months from today you plan to borrow $3 million for 3 months at LIBOR. You hedge your interest rate risk with a euro dollar
Two months from today you plan to borrow $3 million for 3 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 3-month LIBOR rate is 2.5% (not annualized) in two months?
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Financial Markets and Institutions
Authors: Frederic S. Mishkin, Stanley G. Eakins
8th edition
013342362X, 978-0133423624
