Question 7The 3-month March 2024 Euro interest rate futures contract on the Euro is currentlypriced at 96.00. The contract has a nominal value of 1 million Euros.(i) What are the two parties that buy/sell the Euro interest rate futures contract agreeingto? (ii) If you think the 3-month interest rates on the Euro will be around 5% in March wouldyou buy or sell the contract? (iii) How much profit in Euros would you make if you take the action based on part (ii)and are proved right i.e. the 3-month interest rate on the Euro is 5% in March. (iv) What 3-month Euro interest rate in March 2024 will give a break-even position for thebuyer of the contract? (v) What is the profit (+) or loss (-) for the seller of the contract if the 3 month Euro interestrate in March is 3%?
Question 7
The 3-month March 2024 Euro interest rate futures contract on the Euro is currently
priced at 96.00. The contract has a nominal value of 1 million Euros.
(i) What are the two parties that buy/sell the Euro interest rate futures contract agreeing
to?
(ii) If you think the 3-month interest rates on the Euro will be around 5% in March would
you buy or sell the contract?
(iii) How much profit in Euros would you make if you take the action based on part (ii)
and are proved right i.e. the 3-month interest rate on the Euro is 5% in March.
(iv) What 3-month Euro interest rate in March 2024 will give a break-even position for the
buyer of the contract?
(v) What is the profit (+) or loss (-) for the seller of the contract if the 3 month Euro interest
rate in March is 3%?
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