Eurodollar calculation -- price vs. value position, contract, important, ask

SkipE99

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

scarecrow

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.

OmarAdnan

Who's they? Where are you getting this question from? At expiration, value = price on a future or forward.

NO EXCUSES