Answer: 2.023%

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: $\frac{365}{360} \times 4 \times \ln\left(1 + \frac{2\%}{4}\right) = 2.022725\%$ Rounded, this is **2.023%**. Alternatively: 1. Convert 2.0% quarterly to continuous: $4 \times \ln(1 + 2\%/4) = 1.99502\%$ 2. Convert continuous ACT/360 to continuous ACT/365: $1.99502\% \times \frac{365}{360} = 2.02273\%$

Author: Manit Arora