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Which of the following statements regarding Eurodollar futures is most accurate? A. Eurodollar futures are priced as a discount yield and LIBOR is subtracted from 100 to get the quote. B. Every basis point (0.01%) move in annualized 60-day LIBOR represents a $25 gain or loss on the contract. C. Eurodollars futures are based on 60-day LIBOR, which is an add-on yield. |