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boon22
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Joined: November 10th, 2007, 6:02 pm

Is it possible for futures on Treasury be the same as LIBOR rate

January 4th, 2008, 2:03 am

For the same currency at the short term?I tries to drawn prediction for the 3 months treasury bills and 3 months LIBOR rates from BLOOMBERG.So I drawn the futures of 3 m T-bills and futures on LIBOR rates maturing every three months from now. Surprisingly, for 3,6,9, and 12 months I got the same exact results for the futures on 3 m T-bills and the futures on the 3 m LIBOR . Does anyone have any explanation for that?Can anyone tell me if there is a better fast way to predict the rates of 3 months T-bills and 3 months LIBOR for 3 years ,at the end of each calendar quarter?Thanks