Question
If you buy a nine-month T-bill future, you undertake to buy a $1 million three-month bill in nine months time. Suppose that Treasury bills and
If you buy a nine-month T-bill future, you undertake to buy a $1 million three-month bill in nine months time. Suppose that Treasury bills and notes currently offer the following yields:
| Months to Maturity | Annual Yield |
| 3 | 6.1% |
| 6 | 6.6 |
| 9 | 7.1 |
| 12 | 8.1 |
What is the current value of a nine-month bill future? (Do not round intermediate calculations. Round your answer to 4 decimal places.)
Futures price $
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Accounting Business Reporting For Decision Making
Authors: Jacqueline Birt, Keryn Chalmers, Albie Brooks, Suzanne Byrne, Judy Oliver
4th Edition
978-0730302414, 0730302415
