Question
Two months from today you plan to borrow $3 million for 3months at LIBOR. You hedge your interest rate risk with a euro dollar futures
Two months from today you plan to borrow $3 million for 3months 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 is 2.5% in two months?
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International Financial Management
Authors: Geert Bekaert, Robert Hodrick
3rd edition
1107111820, 110711182X, 978-1107111820
