Assume that a bank can borrow or lend money at the same interest rate in the LIBOR market. The 90 -day rate is 10 % per annum, and the 180 -day rate is 10.2 % per annum, both expressed with continuous compounding and an actual/actual day count. The Eurodollar futures price for a contract maturing in 90 days is quoted as 89.5 . What arbitrage opportunities are open to the bank? | Numerade
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