What is your payoff of one future contract

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Reference no: EM132055382

Assume today’s settlement price on a three-month Eurodollar futures contract is 99.645. The contract is written on $1,000,000. The hypothetical delivery date is December 18, 2018.

(a) If you want to hedge again the decrease of three-month LIBOR in December 2018, what position do you want to take in the future contract? Long or short?

(b) If the three-month LIBOR in December 2018 is 0.20%, what is your payoff of one future contract?

Reference no: EM132055382

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