Question
You buy 15 November Fed Fund futures contracts at 99.89 (implied fed funds rate of 11bps). Assume that the tick size is 0.0025 and the
You buy 15 November Fed Fund futures contracts at 99.89 (implied fed funds rate of 11bps).
Assume that the tick size is 0.0025 and the tick value is $10.4175.
At the end of November on the valuation date, the EFFR (Effective Fed Funds Rate) is 7.5bps. What is your profit?
$3,112.34
$2,187.68
$449.66
$4,496.63
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The Cold Start Problem
Authors: Andrew Chen
1st Edition
0062969749, 978-0062969743
