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Starting at the beginning of December, suppose the 3-month T-Bill futures for March is priced at 99 (actual price, not the annualized, discount basis price.)The
Starting at the beginning of December, suppose the 3-month T-Bill futures for March is priced at 99 (actual price, not the annualized, discount basis price.)The spot 3-month T-Bill is currently trading at 98.5.There is also a 6-month T-Bill futures for June selling for 98.01.The spot price for the 6-month T-bill is 97.515.If you can go long or short on any of these bonds (borrow or lend at any of these rates), show how you can make a profit. Show all work and formulas.
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