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What is the duration of a $1 million face value 90-day Treasury bill futures contract? How is this done using the formula for duration, please
What is the duration of a $1 million face value 90-day Treasury bill futures contract?
How is this done using the formula for duration, please show each step.
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Introduces Quantitative Finance
Authors: Paul Wilmott
2nd edition
470319585, 470319581, 978-0470319581
