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Consider the following quoted discounts currently posted for two Treasury Bills and a futures contract that delivers a 3-month Treasury Bill. Contract and its Maturity
Consider the following quoted discounts currently posted for two Treasury Bills and a futures contract that delivers a 3-month Treasury Bill. Contract and its Maturity Quoted Discount (%)
90-day Treasury Bill 6.5%
180-day Treasury Bill 5.8%
90-day futures 15%
Answer the following: i) Is the futures contract priced as per the theoretical arbitrage valuation model? Show your calculations.
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