Question
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
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?
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International Financial Management
Authors: Cheol S. Eun, Bruce G.Resnick
6th Edition
71316973, 978-0071316972, 78034655, 978-0078034657
