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Business, 05.05.2020 05:58 natfloresm13

Consider a three-month Eurodollar futures price of P(Fut)=97 for a LIBOR rate =3%. Suppose you take a long position in the contract and you hold the position until the settlement date. On the settlement date, the three-month LIBOR is 2.5%, for a cash price of 97.50. Hence, the price of this contract at expiration date is 97.50. What is the cash flow will you receive over the holding period? (All rates are annualized) A. 5,000 B. -5,000 C. -1,250 D. 1,250

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Consider a three-month Eurodollar futures price of P(Fut)=97 for a LIBOR rate =3%. Suppose you take...
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