The Time-To-Maturity of a Eurodollars Futures Contract Is 4 Years,and

question 5

Multiple Choice

The time-to-maturity of a Eurodollars futures contract is 4 years,and the time-to-maturity of the rate underlying the futures contract is 4.25 years.The standard deviation of the change in the short term interest rate,σ = 0.011.What is the difference between the futures and the forward interest rate?

• A)0.105%
• B)0.103%
• C)0.098%
• D)0.093%

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