Use the Fact That the Pseudo-Probability of Default at Time

question 8

Multiple Choice

Use the fact that the pseudo-probability of default at time zero is (1 / 2) to answer the questions that follow.
-Consider a Eurodollar futures with maturity date 2.What is the Eurodollar futures rate on this contract at time 0?

• A) 0.019941
• B) 0.036619
• C) 0.039505
• D) 0.019963
• E) 0.017755

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