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  3. [table 1] eurodollar futures (dt=1/252) dt 3 x dt

[Table 1] Eurodollar Futures (dt=1/252) dt 3 x dt 4x dt 5x dt Date(t) Price...

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[Table 1] Eurodollar Futures (dt=1/252) dt 3 x dt 4x dt 5x dt Date(t) Price 0 93.635 2 x dt 93.570 93.685 93.500 93.320 93.330 1. Today (t=0) a firm enters into a Eurodollar futures contract (contract size is $1,000,000). The futures prices for six consecutive days are given in Table 1. (a) What is the daily profit/loss from the futures contract for each date? (b) What is the cumulative profit/loss from the futures contract for each date? [Table 2] Forward Rates (dt=1/252, T1=0.5, T =1) dt 2 x dt 3 x dt 4x dt Date (t) 0 falt,T1, T2) 4.9377% 5x dt 4.6208% 4.8740% 4.7691% 4.6475% 4.5410% 2. Consider the data in Table 2, where fat,T1, T2) is the semi-annually compounded forward rate fo the period T1=0.5 to T2=1. Today (t=0) a firm enters into a forward contract to purchase six month later $1,000,000-worth of 6-month Treasury bills at a price pwd(0,0.5,1) per $100 par value. (a) What is the value of pwd(0,0.5,1)? (b) What is total profit/loss at t=5 x dt from the forward contract

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