Explain the impact on the implied repo rate of changing from the bid to the offer futures

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Explain the impact on the implied repo rate of changing from the bid to the offer futures price of the longer-dated futures contract?

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Introduction To Derivatives And Risk Management

ISBN: 9781305104969

10th Edition

Authors: Don M. Chance, Robert Brooks

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Question Posted: Apr 07, 2016 08:37 AM

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Explain the impact on the implied repo rate of changing from the bid to the offer futures

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Recall the implied repo rate is The numerator is the amount received for the bond at the matur...View the full answer

Introduction To Derivatives And Risk Management

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