Schwezer Qn: Futures

Relevant part of Qn: Given Info: 1. Annualized 90-day LIBOR is 7.6%. 2. Globos’ economists expect annualized 90-day LIBOR to rise to 7.9% over the next 60 days. Question: Assume that Globos has taken a position in the Eurodollar futures contract, it is now 60 days later and the contract is expiring. Globos interest rate forecast for 90-day LIBOR was correct. The value of the futures contract at expiration is closest to: A) $921,000. B) $980,250. C) $981,000.

980250 – [1 - 0.079 * 90/360]

Correct. Thanks. I got confused with 60days…