Clarification: LIBOR and Eurodollar futures

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Ernest Seow

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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
 
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.
 
S2000magician wrote:
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.
Click to expand...
Yeah it’s weird, haha.
Thank you!
 
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