Using the GP screen, examine the historical prices of the T-bond futures contract you selected in Exercise 5 (select a time period that the contract was active).

a. Select a period in which you would have taken a long position and calculate the profit from opening and closing at the futures prices at the beginning and ending dates for your selected period. Calculate the losses if you had taken a short position.

b. Select a period in which you would have taken a short position and calculate the profits from opening and closing at the futures prices at the beginning and ending dates for your selected period. Calculate the losses if you had taken a long position.

c. Using the annotation bar, apply the "\% Change" tool to calculate the percentage change for your select periods, and then click the "News" icon on the annotation bar to find relevant news events on or preceding the opening date.

d. Examine the constant maturity Treasury yield index for the period that your futures contract was active. Begin typing USGG (e.g., USGG20YR) to see the dropdown that will identify the ticker for the Treasury with the maturity of underlying Treasury on your selected futures contract. Comment on the yield and futures price relations for the period.

e. Examine the prices and yields on the cheapest-to-deliver bond on the contract for the period that your futures contract was active. Begin typing " \(\mathrm{T}\) " followed by maturity (e.g., 3/15/23) for a dropdown to see the ticker for the Treasury with the maturity of underlying Treasury on your selected futures contract. Comment on the yield and futures price relations for the period.

f. Use the Chart screen (Chart < Enter>) to create multigraphs for the T-note, cheapestto-deliver note, and constant maturity Treasury yield. On the Chart Menu screen, select the Standard G chart; once you have loaded your securities, go to "Edit" to put your graphs in separate panels.

Exercise 5.

Access Bloomberg information on a T-bond futures contract: type CTM to bring up the "Contract Table Menu," click "Categories" and "Bonds," search for the CBT on the Menu (type CBT in the amber Exchange box area), find the CBT contract of interest and bring up its menu screen (Ticker ; e.g., USA for T-Bonds), and then use the Expiration screen (EXS) on the contract's menu page to find the ticker for the contract with the expiation month you want to analyze (Ticker < Comdty>; e.g., USH7 for the March 2017 contract). View screens to examine: DES, DLV, and GP.