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 | 7.8% |
| 6 | 8.3 |
| 9 | 8.8 |
| 12 | 9.8 |
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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Project Financing Analyzing And Structuring Projects
Authors: Frank J Fabozzi, Carmel De Nahlik
1st Edition
9811232393, 9789811232398
