Question
Today a company enters into a forward contract with a bank to purchase $100 million worth of 6-months T-Bill in 6 month time. The face
Today a company enters into a forward contract with a bank to purchase $100 million worth of 6-months T-Bill in 6 month time. The face value of each T-Bill is $100. Specify all the parameters of F(t,T1,T2), and the maturity of the T-Bill relative to t. Calculate the forward price the bank should quote for the 6-month T-Bill?
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The Art Of Safety Auditing A Tutorial For Regulators
Authors: Sasho Andonov
1st Edition
0367351080, 978-0367351083
