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Which of the following is true?
A.The futures rates calculated from a Eurodollar futures quote are always less than the corresponding forward rate
B.The futures rates calculated from a Eurodollar futures quote are always greater than the corresponding forward rate
C.The futures rates calculated from a Eurodollar futures quote should equal the corresponding forward rate
D.The futures rates calculated from a Eurodollar futures quote are sometimes greater than and sometimes less than the corresponding forward rate
A.The futures rates calculated from a Eurodollar futures quote are always less than the corresponding forward rate
B.The futures rates calculated from a Eurodollar futures quote are always greater than the corresponding forward rate
C.The futures rates calculated from a Eurodollar futures quote should equal the corresponding forward rate
D.The futures rates calculated from a Eurodollar futures quote are sometimes greater than and sometimes less than the corresponding forward rate
Answer: B
The futures rate must be reduced by what is known as a convexity adjustment to get the forward rate.
Karteninfo:
Autor: CoboCards-User
Oberthema: Finance & Investment
Thema: Derivatives
Veröffentlicht: 27.10.2015