[ QUOTE ]
[ QUOTE ]
[/ QUOTE ]
OMG, wtf, are those serious...i have to go get an MRI for my foot but i'll back out the implied UK rates given US rates at certain levels for those prices but at first glance they look way off.
be back later.
Barron
EDIT: i just realized why the late maturity contracts are so high, b/c they are being pulled up by the short maturities via arbitrage. i'll dig more into this later but thanks a ton crushin for the post (is this available online instead of just through your image shack?)
[/ QUOTE ]
CrushinFelt,
do you know where i can get Pound denominated libor & euribor quotes? CME only does USD denominated libor & euribor.
i have backed out that the 3mo compound average pound libor rate for december to march must be 5.8823% for the 2.0395 USD/GBP price to be justified on forward pricing grounds.
similarly, the 3mo compound average pound libor rate 6mo forward must be 5.6070% to justify the 2.0334 USD/GBP price
these translate to the following maturities/prices for pound libor:
12/1/2007 to 3/1/2008: 94.1177 i.e. 3 mo, 3 mo forward
3/1/2008 to 6/1/2008: 94.3930 i.e. 3 mo, 6 mo forward
i want to now compare that estimate to the actual priced in pound libor rates. where i can get that? (i've searched the interwebs and came up empty so far)
thanks,
Barron