Assume a $1 million Treasury Bill futures contract with an index price of 97.45 (and a yield

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Assume a $1 million Treasury Bill futures contract with an index price of 97.45 (and a yield on a bank discount basis of 2.55%), the dollar discount for the 13-week Treasury bill to be delivered with 91 days to maturity.

Calculate the minimum index price fluctuation of .01 or 1BP.

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Essentials of Investments

ISBN: 978-0078034695

9th edition

Authors: Zvi Bodie, Alex Kane, Alan Marcus

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Posted Date: Nov 09, 2020 07:15 PM

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Assume a $1 million Treasury Bill futures contract with an index price of 97.45 (and a yield

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Essentials of Investments

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