Question
In January, you BUY one March futures contract on 3-month, $1 million SOFR at a price of 99.26. a) What is the futures interest rate
In January, you BUY one March futures contract on 3-month, $1 million SOFR at a price of\ 99.26.\ a) What is the futures interest rate implied in the price above?\ b) Assume that the futures interest rate rose by 7 basis points. How much money did you\ gain or lose on your futures position?\ c) Assume that the futures interest rate fell by 11 basis points . How much money did you\ gain or lose on your futures position?
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Handbook Of Research On Decision Making Techniques In Financial Marketing
Authors: Hasan Dinçer, Serhat Yüksel
1st Edition
1799825590, 978-1799825593
