The Time-To-Maturity of a Eurodollars Futures Contract Is 4 Years $\sigma$

question 4

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, $\sigma$ = 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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