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Question 5 The following quotes are given in the Australian market Instrument 30-day bill futures Advance settled 30-day FRA Maturity 60 days 60 days Quote

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Question 5 The following quotes are given in the Australian market Instrument 30-day bill futures Advance settled 30-day FRA Maturity 60 days 60 days Quote 95.50 4.10% 10 pts Show that there exists an arbitrage opportunity, and construct the appropriate portfolio. What is the resulting profit per $100.000 face value of the 30-day bill underlying the futures contract

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