The June 2019 EuroDollars futures contract has a price of $97.30. What 3-month LIBOR rate does...
The June 2019 EuroDollars futures contract has a price of $97.30. What 3-month LIBOR rate does this imply traders expect in June?
Homework Answers
Hi,
A price of EuroDollar future is an anticipation of LiBOR rate anticipated on settlement date after 3 month, when the contract will expire.
Libor rate is a short term interest rate that bank can borrow in London market.
Libor prices are expressed as 100-Eurodollar future
So Libor = 100-97.30
Libor = 2.70%
Thanks
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