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.
| 3-month cash: Don't use plagiarized sources. Get Your Custom Essay on the 3 month usd cash rate and the futures prices for usd are as follows the first fu 600441 Get an essay WRITTEN FOR YOU, Plagiarism free, and by an EXPERT! Just from $10/Page | (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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