Calculate the final settlement price

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Question

To calculate the final settlement price of the 3-month December 2023 SOER futures contract, an analyst has collected the overnight SOF rates published over the 91-day period running from September 20th, 2023 (included) to December 20th, 2023 (exclüded). She has observed an overnight SOF equal to 2.3% per annum over 13 days, 2.5% per annum over 4 days, and 2.9% per annum over the remaining observations. What isthe realized 3-month SOF average by December 20", 2023, expressed with quarterly compounding?

Reference no: EM133629956

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