
Explanation:
A Eurodollar futures price quote of 98 implies an interest rate of:
$100 - 98 = 2.00%$
Eurodollars use an actual/360 day count convention, and the converted actual/365 continuous rate is:
Rounded, this is 2.023%.
Alternatively:
$4 \times \ln(1 + 2%/4) = 1.99502%$2. Convert continuous ACT/360 to continuous ACT/365:
$1.99502% \times \frac{365}{360} = 2.02273%$Ultimate access to all questions.
Q-168.4. A Eurodollar futures price quote is 98.00. What is the implied (converted) interest rate per annum with continuous compounding and under an actual/365-day count convention?
A
1.995%
B
2.000%
C
2.023%
D
4.000%
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