2. A trader downloads the following discounts for T-Bills being traded currently. . Maturity Rate 60 Day

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2. A trader downloads the following discounts for T-Bills being traded currently. .

Maturity

Rate

60 Day

2.15%

67 Day

2.20%

95 Day

2.28%

97 Day

2.39%

128 Day

2.98%

187 Day

3.29%

188 Day

3.32%

a) What is the futures price of a contract expiring in 97 days written on a 91-Day T-Bill?

b) What is the value of this contract?

c) Suppose the trader shorted the above contract. What is his gain/loss after 33 days have passed if the T-Bill discounts are:

Maturity

Rate

33 Day

0.18%

54 Day

0.79%

63 Day

1.59%

64 Day

1.61%

97 Day

1.98%

124 Day

2.24%

142 Day

2.52%

155 Day

2.61%

182 Day

2.93%

Posted Date: Jun 07, 2024 09:05 AM

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2. A trader downloads the following discounts for T-Bills being traded currently. . Maturity Rate 60 Day

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