Where is the 400 coming from in the 3 month LIBOR calculation? This also shows up in Reading 32 on the top of page 140 in the optional section but I cannot find an explanation for this.
Thanks
autocats15 wrote:
Where is the 400 coming from in the 3 month LIBOR calculation? This also shows up in Reading 32 on the top of page 140 in the optional section but I cannot find an explanation for this.
Thanks
I am guessing it’s shorthand for 100 * 4 - Didn’t read the whole thing; but if Eurodollar contract face value is 100 and price is 96.XX then for a 360-day convention used for LIBOR, the interest rate is {profit = (100 - 96.XX)/100} / 4 quarters * 91 actual days / 90 conventional days = whatever.
发表于 2013-5-4 13:53
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