Find the eurodollar futures contract price

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Suppose that it is February 20 and a treasurer realizes that on July 17 the company will have to issue $5 million of commercial paper with a maturity of 180 days. If the paper were issued today, the company would realize $4,820,000. (In other words, the company would receive $4,820,000 for its paper and have to redeem it at $5,000,000 in 180 days' time.) The cheapest to deliver bond has a duration of 7.5 and the portfolio a duration of 15.

1.) The September Eurodollar futures price is quoted as 95. Find the Eurodollar Futures Contract price (Note: round your answer to the nearest number).

Reference no: EM133253387

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