# Calculating Implied Forward Rates from Eurodollar Futures Quotes

I'm trying to calculate the implied forward rates of the Eurodollar (USD) curve, knowing that the Eurodollar curve is supposed to be a mirror of the yield curve (else arb).

I have this formula for the value of the strip:

$Strip = \displaystyle \frac{\prod_{i= 1}^{n}\bigg(1 + R_i \cdot \big(\frac{days_i}{360} \big) \bigg) - 1}{\frac{term}{360}}$

Using this for current values of LIBOR, I have /GEZ6, /GEH7, /GEM7, /GEU7 to replicate a 1-year forward curve. The rates are $R_1 = 93.5bp$, $R_2 = 95bp$, $R_3 = 98bp$, $R_4 = 101bp$. Using this formula gives me the value of the strip at 97.2 basis points, which I'm confident is wrong.

How do I value the 1-year interest rate forward at December?

• 97.2 bp looks about right to me... What makes you confident it's wrong? Aug 24 '16 at 15:39
• The current 1 year LIBOR is 1.52 according to wsj.com/mdc/public/page/2_3020-libor.html Aug 24 '16 at 15:50
• I see - this is a bit subtle, I've had a go at answering below. Aug 24 '16 at 16:22