标题: Eurodollar calculation -- price vs. value [打印本页] 作者: SkipE99 时间: 2011-7-11 19:35 标题: Eurodollar calculation -- price vs. value
This may be a terminology nuance byt I think it's important. they ask below for the VALUE of the futures contract. but we know that the value of a futures contract at expiration (and at the end of each day) is zero. They meant price right? If you look at schweser book 5 page 45 they do a similar problem in the same method but they ask for price. please advise, thank you.
Assume that Globos has taken a position in the Eurodollar futures contract, it is now 60 days later and the contract is expiring. Globos interest rate forecast for 90-day LIBOR was correct. The value of the futures contract at expiration is closest to:
A) $921,000.
B) $980,250.
C) $981,000.
Your answer: C was incorrect. The correct answer was B) $980,250.
The Eurodollar futures contract is based on 90-day LIBOR.
The forecast for 90-day LIBOR was 7.9%. Thus, the contract price at expiration is:
$1,000,000 作者: OmarAdnan 时间: 2011-7-11 19:35
Who's they? Where are you getting this question from? At expiration, value = price on a future or forward.
NO EXCUSES作者: scarecrow 时间: 2011-7-11 19:35
on a futures contract, value equals zero at the end of each day because the futures price is adjusted to match the mark to market price.
V = Futures price - M2M price
and by they i mean schweser. they have the same problem in their book but they call the calculation finding the price, not finding the value.
