A trader downloads the following discounts for T Bills being traded currently Maturity Rate 60 Day 2 15 67 Day 2 20 95 Day 2 28 97 Day 2 39 128 Day 2 98 187 Day 3 29 188 Day 3 32 a) What is the futures price of a contract expiring in 97 days written on a 91 Day T Bill b) What is the value of this c...

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A trader downloads the following discounts for T-Bills being traded currently. . Maturity Rate 60 Day 2.15%

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A trader downloads the following discounts for T-Bills being traded currently. .

Maturity	Rate
60 Day	2.15%
67 Day	2.20%
95 Day	2.28%
97 Day	2.39%
128 Day	2.98%
187 Day	3.29%
188 Day	3.32%

a) What is the futures price of a contract expiring in 97 days written on a 91-Day T-Bill?

b) What is the value of this contract?

Related Book For answer-question

International Financial Management

ISBN: 978-0078034657

6th Edition

Authors: Cheol S. Eun, Bruce G.Resnick

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Posted Date: May 13, 2020 05:50 AM

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A trader downloads the following discounts for T-Bills being traded currently. . Maturity Rate 60 Day 2.15%

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International Financial Management

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