Question
Suppose a Eurodollar time deposit futures contract has a duration of .5 years and has a current market price of $950,000. Market interest rates are
Suppose a Eurodollar time deposit futures contract has a duration of .5 years and has a current market price of $950,000. Market interest rates are 8.5 percent and are expected to fall to 7.5 percent. What is the change in this futures contract's market price from this change in interest rates?
) $4378
B) -$4378
C) $30,645
D) -$30,645
E) None of the above
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School Finance And Business Management Optimizing Fiscal Facility And Human Resources
Authors: Craig A. Schilling, Daniel R. Tomal
2nd Edition
1475844026, 978-1475844023
