So on CFAI, there is one example: Knowing the June and Sept Eurodollar futures prices are 96.06 and 96.13. Thus 3-month LIBOR from June to Sept was (100-96.09)/400*91/90=0.988% and from Sept to Dec was (100-96.13)/400*91/90. Anyone can explain where this formula is from? I suspect it is from Level I or II. Thanks
Few things that I recognize is a. Eurodollar Future Rate is 100-The Future Price, so 100-96.06 =3.94 b. You divide by 4 because it is quarterly and by 100 beccause of converting to percentage. c. 91 represents the actual number of days in the quarter. Also instead of using 4 in step b, you could just represent this as 91/360 (Act/360) which I believe is Libor convention. I believe this is right.
Agree with BTON04. LIBOR and repo rate (reading 30) are the so-called Money Market rates. They are based on actual days/360 days