Question
A futures contract on the 3-month SOFR rate with notional principal of $1 million currently has a futures price of 99.70. If the (annualized) SOFR
A futures contract on the 3-month SOFR rate with notional principal of $1 million currently has a futures price of 99.70. If the (annualized) SOFR rate at contract maturity is .50%, what is the profit (positive number) or loss (negative number) realized by the trader on the long side of the contract? (The trader buys one contract.)
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Introduction To Derivatives And Risk Management
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