Clarification: LIBOR and Eurodollar futures

CFA Level I Derivatives
#1

Dear all,

Can I clarify the following with regards to reference rate (e.g. LIBOR)?

It has been mentioned in Schweser Notes that reference rate such as LIBOR is quoted as Add-On Rate (“ AOR ”) on a 360 days basis.

Can I say that the only exception to this is Eurodollar futures whereby LIBOR is quoted as discount yield instead?

Thank you.

Cheers,

Ernest

#2

That’s not an exception to a LIBOR quote because it’s not a quote on LIBOR; it’s a quote on Eurodollars. The value is still calculated as an add-on rate, but the price (perhaps “price” would be better) is quoted as if it were a discount bond.

It’s weird.

#3

Yeah it’s weird, haha.

Thank you!

#4

You’re welcome.

#5

You’re welcome.