The prices, yields and quarterly interest rates of eurodollar futures are closely associated with U.S. Treasury yields. "Yields and rates" (below) shows the Treasury yields at six maturities on eurodollar futures on Feb. 24 with rates for 40 quarterly maturities beginning with March 2017, and the eurodollar yield curve computed as the geometric mean of quarterly rates leading up to each maturity. Because of the closely matched yield curves, the Treasury yield curve can also be thought of as a series of geometric means of quarterly rates.
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