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Calculating Futures Duration: a. Calculate the implied futures rate, duration, and modified duration of the June 2024 5-year T-Note futures contract (assume that this futures
Calculating Futures Duration: a. Calculate the implied futures rate, duration, and modified duration of the June 2024 5-year T-Note futures contract (assume that this futures contract is pricing a 5-year note with a 6% coupon, semi-annual compounding). b. What is the modified duration of the June 2024, September 2025, and September 2030 3-month SOFR futures contracts
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Financial Management Principles and Applications
Authors: Sheridan Titman, Arthur J. Keown, John H. Martin
13th edition
134417216, 978-0134417509, 013441750X, 978-0134417219
