2. The following table shows the 90 Day Bank Bill trades for a person in the...
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2. The following table shows the 90 Day Bank Bill trades for a person in the Capital Markets. Bank Bills Date 02-Sep-13 05-Sep-13 09-Sep-13 10-Sep-13 12-Sep-13 Current Position as at: 13-Sep-13 (a) (b) (c) Open Position 0 20 30 -10 -20 Buy Contracts 20 10 Sell Contracts 40 10 10 Close Revaluation Position 20 30 -10 -20 -30 -30 $0 -$1,461 $730 $487 -$974 $730 Cumulative Revaluation $0 -$1,461 -$731 -$244 -$1,218 -$488 Rate 97.44 97.41 97.42 97.40 97.42 97.41 For each futures "rate" in the table above, what is the corresponding yield? Why are interest rate futures contracts quoted as (100 - yield)? What is the price of a bank bill futures contract at each of these yields? (NOTE: The ASX bank bill futures contract is for a 90 day bank bill with face value of $1,000,000). (ANSWER: $993,727.27 at a yield of 2.560%) If you bought 20 contracts at 97.440 on 02/09/2013 and held them through to 97.410 on 05/09/2013, what profit/loss would you have made? Does your profit agree with the "Revaluation" figure of (-)$1,461 shown in the table above? Why did this group make a loss of $974 between 10/09/2013 and 12/09/2013? 2. The following table shows the 90 Day Bank Bill trades for a person in the Capital Markets. Bank Bills Date 02-Sep-13 05-Sep-13 09-Sep-13 10-Sep-13 12-Sep-13 Current Position as at: 13-Sep-13 (a) (b) (c) Open Position 0 20 30 -10 -20 Buy Contracts 20 10 Sell Contracts 40 10 10 Close Revaluation Position 20 30 -10 -20 -30 -30 $0 -$1,461 $730 $487 -$974 $730 Cumulative Revaluation $0 -$1,461 -$731 -$244 -$1,218 -$488 Rate 97.44 97.41 97.42 97.40 97.42 97.41 For each futures "rate" in the table above, what is the corresponding yield? Why are interest rate futures contracts quoted as (100 - yield)? What is the price of a bank bill futures contract at each of these yields? (NOTE: The ASX bank bill futures contract is for a 90 day bank bill with face value of $1,000,000). (ANSWER: $993,727.27 at a yield of 2.560%) If you bought 20 contracts at 97.440 on 02/09/2013 and held them through to 97.410 on 05/09/2013, what profit/loss would you have made? Does your profit agree with the "Revaluation" figure of (-)$1,461 shown in the table above? Why did this group make a loss of $974 between 10/09/2013 and 12/09/2013?
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a For each futures rate in the table above the corresponding yield can be calculated using the formu... View the full answer
Related Book For
Stats Data and Models
ISBN: 978-0321986498
4th edition
Authors: Richard D. De Veaux, Paul D. Velleman, David E. Bock
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