Problem:
On January 8, 2016, a bank wants to lock in the 3-month interest rate starting on June 20, 2017. Currently, 6/2017 Eurodollar futures price is 94.93 and 9/2017 Eudollar futures price is 97.55.
Required:
What is the interest rate that the bank can lock in? (Margin of error: +/- 0.01%) explain in detail.