I know 3-month Eurodollar future prices and need to convert it to 6-month LIBOR.
I calculated the 3-month LIBOR as : (100 - ED price) / 100
How to continue from here?
Thanks for the help.
Edit: I can do the assumption that there's no difference basis between swaps that have 3- or 6-month libor as the floating leg. End goal is to calculate a swap floating leg as 6-month libor.