What is the annualised LIBOR rate priced into this contract

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Question - Gordon, a speculator, has purchased a March Eurodollar futures contract at a price of 94.58.

(a) What is the annualised LIBOR rate priced into this contract?

(b) A month later, the interest rate has decreased to 5.27 percent. Would the futures price go up or down?

(c) How much is Hathaway's gain or loss in dollar terms?

Reference no: EM133124690

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