Question
Suppose a $100,000 T-Bond futures contract whose underlying's duration is 9 years and has a current market price of $98,750. Market interest rates are 6
Suppose a $100,000 T-Bond futures contract whose underlying's duration is 9 years and has a current market price of $98,750. Market interest rates are 6 percent today but are expected to rise to 7.5 percent. What is the expected change in this futures contract's market price as a result of this change in interest rates?
| $12,577 | ||
| -$12,577 | ||
| $62,883 | ||
| -$62,883 | ||
| No change |
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The Handbook Of Post Crisis Financial Modelling
Authors: Emmanuel Haven, Philip Molyneux, John Wilson, Sergei Fedotov, Meryem Duygun
1st Edition
1137494484, 978-1137494481
