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Economics - Financial Markets 16 Online
OpenStudy (anonymous):

The December Eurodollar futures contract is quoted as 97.75 and a company plans to borrow $10 million for three months starting in December at LIBOR3 plus ¾ %. Question: Show that the net cost of borrowing, including any profit or loss on the futures position, is equal to the locked-in rate 2.25%. Answer as a percent with two decimal place accuracy.

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