[一級金融市場與產品] The four-year Eurodollar futures quote is 97.00. The volatility of the short-term interest rate (LIBOR) is 1.0% expressed with continuous compounding. What is the equivalent forward rate adjusted fo cotexity given in ACT/360 day count with continuous compounding(ie.the Eurodollar futures contract gives LIBOR in quarterly compounding ACT/360 so convert to continuous but a day count conversion is not needed)

唐云琴 發(fā)布于：2020-02-13 16:02:36 瀏覽363次   FRM FRM Part I
老師，這道題目看不懂
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金老師 發(fā)布于2020-02-13 17:09:41

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