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Suppose you observe the following yields on T-bills and T-bill futures contracts on January 5 , 1991: (a) What arbitrage position should you undertake in
Suppose you observe the following yields on T-bills and T-bill futures contracts on January 5 , 1991:
(a) What arbitrage position should you undertake in order to make a certain profit with no risk and no net investment?
(b) What effect does the trend in spot prices have on the variance of prices for May contracts sold in February?
Yield (\%) March futures contract on a 90 day T-bill (futures contract matures 12.5 in 77 days on March 22) 167-day T-bill 10.0 77-day T-bill 6.0Step by Step Solution
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