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1. The September CBOT Treasury bond futures contract has a quoted price of 90'12. If annual interest rates go up by 1.25 percentage point, what
1. The September CBOT Treasury bond futures contract has a quoted price of 90'12. If annual interest rates go up by 1.25 percentage point, what is the gain or loss on the futures contract? (Assume at $1,000 par value, and round to the nearest whole dollar).
a. -$207
b. -$77
c. -$114
d. -$74
e. none of the above
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