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what is a - c ? thanks. On January 1, the one month LIBOR rate is 4% and the two month LIBOR rate is 5%.

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what is a - c ? thanks.

On January 1, the one month LIBOR rate is 4% and the two month LIBOR rate is 5%. The February fed Lunds futures is quoted at 94.50 Assume the use of a single $5.000.000 futures contract. What is the implied one month repo rate? b. Clearly outline an arbitrage strategy to profit from these rates. If on February 1 the one-month LIBOR is 6% and the February fed funds futures is quoted at 93 then what is the arbitrage proht on February 1? On January 1, the one month LIBOR rate is 4% and the two month LIBOR rate is 5%. The February fed Lunds futures is quoted at 94.50 Assume the use of a single $5.000.000 futures contract. What is the implied one month repo rate? b. Clearly outline an arbitrage strategy to profit from these rates. If on February 1 the one-month LIBOR is 6% and the February fed funds futures is quoted at 93 then what is the arbitrage proht on February 1

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