A Eurodollar futures price of 99.685 implies:
A) A forward-forward rate of 0.685%
B) A forward-forward rate of 0.315%
C) Current 3-month LIBOR of 0.6850%
D) Current 3-month LIBOR of 0.3150%

Question

Quizplus · Accepted Answer

A Eurodollar futures price of 99.685 implies a 3-month LIBOR rate of 100 - 99.685 = 0.315%. Therefore, the forward-forward rate would be the expected 3-month LIBOR rate minus the current 3-month LIBOR rate, which is 0% since it is the same date. Thus, the correct answer is B.

A Eurodollar Futures Price of 99.685 Implies