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(a) It is 1 st May 2021, the 3 month (91 days) £LIBOR spot interest rate is 7% and the 6 month (182 days) £LIBOR spot interest is 6%

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(a) It is 1 st May 2021, the 3 month (91 days) £LIBOR spot interest rate is 7% and the 6 month (182 days) £LIBOR spot interest is 6%. Calculate the appropriate price of the 30th July £LIBOR interest rate futures contract.

(b) Explain the rationale behind your result given that the contract size is for £1 million.