Suppose you took a long position in a September T-bill futures priced at IMM index 95.5. What

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Suppose you took a long position in a September T-bill futures priced at IMM index 95.5. What would be your profit or loss on the position if the price of a spot 91-day T-bill were trading at YTM of 5% (actual/365day-count convention) at the September expiration?

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Bond Evaluation Selection And Management

ISBN: 103132

2nd Edition

Authors: R. Stafford Johnson

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