Euro dollar futures price for a contract maturing

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Reference no: EM13890250

The 3 month euro dollar futures price for a contract maturing in 6 years is quoted as 95.20. The standard deviation of the change in the short-term interest rate in 1 year is 1.1%. Estimate the forward LIBOR interest rate for the period between 6.00 and 6.25 years in the future.

Reference no: EM13890250

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Euro dollar futures price for a contract maturing : The 3 month euro dollar futures price for a contract maturing in 6 years is quoted as 95.20. The standard deviation of the change in the short-term interest rate in 1 year is 1.1%. Estimate the forward LIBOR interest rate for the period between 6.00 ..

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