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Joined: May 5th, 2009, 10:35 am

Eurodollar futures

May 14th, 2009, 12:17 pm

re the prices as listed here ... ar.htmlfor the contracts further out in time ie 2012, 2013, 2014, 2015 etc the price steadily declines.Is it fair to assume that as time progresses the price of the contract will tighten closer to the current rate interest rate. ie the price of a march 2016 is currently trading at 95.69. lets say its feb 2016 and i hold a march 2016, if the fed rate stays the same 0-0.25% and libor also same (not likely i know, just an assumption for the purposes of this example) it is reasonable to assume the march 2016 will be trading at 99 ish
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Joined: July 18th, 2006, 5:49 am

Eurodollar futures

May 15th, 2009, 6:03 am

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Eurodollar futures

May 17th, 2009, 11:53 pm

QuoteOriginally posted by: smithyprice of the contract will tighten closer to the current rate interest rate ... if the fed rate stays the same 0-0.25% ... That "if" is the crux of the pricing. The price reflects (or should under normal market/liquidity conditions) the markets expectations of 3m libor on contract expiration mar 2016. Now if financial conditions continue to be weak/risk of us deflation rises/etc, etc then the price may creep upwards as market participants expect 3m libor to set lower mar 2016.
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Eurodollar futures

May 18th, 2009, 8:57 am

There is one thing you ought to bear in mind in your analysis. March 2016 isn't actually trading anything. (ie) there is no volume or any open interest. Prices are just an indication on where the market should be and put up on the closing bell.Taking a position that far in the future can prove to be very expensive, even if you are totally correct in your assumptions

PW by JB has been "Serving the Quantitative Finance Community" since 2001. Continued...

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