The 3-month USD cash rate and the futures prices for USD are as follows. The first futures contract period begins exactly 3 months after spot.
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the 3 month usd cash rate and the futures prices for usd are as follows the first fu 600441
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|
(91 days) |
6.25% |
|
futures 3 v 6: |
(91 days) |
93.41 |
|
6 v 9: |
(91 days) |
92.84 |
|
9 v 12: |
(92 days) |
92.63 |
|
12 v 15: |
(91 days) |
92.38 |
|
15 v 18: |
(91 days) |
92.10 |
b. What should the 18-month par swap rate be on a quarterly money market basis?
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