Consider nine- month futures contract on eur

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Reference no: EM131994984

Consider a nine- month futures contract on EUR that settled at USD 1.3314 yesterday. LIBOR (USD) and EURIBOR (EUR) rates for nine- month matures at close of trading yesterday were 1.6 percent and 2 percent, respectively. At today’s open, EURIBOR rates are unchanged, but LIBOR has increased to 2.20 percent. Because of increased inflows into USD assets, EURUSD falls by 1 percent. What is the new futures price? (For simplicity, assume that maturity both for calculations based on yesterday’s close and today’s open equals nine months, or 0.75 years)

Reference no: EM131994984

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