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7. Consider the following information while answering the following questions. Use discrete returns and round off implied percentage repo rates to 2 decimal places. Only
7. Consider the following information while answering the following questions. Use discrete returns and round off implied percentage repo rates to 2 decimal places. Only arbitrage between futures contracts and associated assets are to be considered Today's Date -19-Oct-11 Futures Contract Maturity 11/15/2011 12/15/2011 1/15/2012 2/15/2012 3/15/2012 T-bill Contracts Futures NOV DEC JAN FEB MAR Maturity 11/15/2011 12/15/2011 1/15/2012 2/13/2012 2/15/2012 3/14/2012 3/15/2012 4/14/2012 5/15/2012 6/13/2012 Yield 0.420% 0.730% 0.750% 1 , 120% 1 . 1 50% 1.650% 1 .890% 2.020% 2.320% 2.570% 98.67 97.76 96.73 96.67 95.53
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