Exhibit $15\mathrm{.}4$

USE THE INFORMATION BELOW FOR THE FOLLOWING PROBLEM

A three$-$month T$-$bond futures contract $($maturity $20$ years, coupon $6$ percent, face $$100,000)$ currently trades at $$98,781\mathrm{.}25($implied yield $6\mathrm{.}11$ percent$).$ A three$-$month T$-$note futures contract $($maturity $10$ years, coupon $6$ percent, face $$100,000)$ currently trades at $$101,468\mathrm{.}80($implied yield $5\mathrm{.}80\%).$ Assume semiannual compounding.

Refer to Exhibit $15\mathrm{.}4.$ Suppose the yield curve changed so the that the new yield on the T$-$bond contract rose to $6\mathrm{.}5$ percent, and the new yield on the T$-$note contract fell to $5\mathrm{.}5$ percent. Calculate the profit on the note against bond futures spread. $($Assume coupons are paid semiannually$)$

a$.$ $$6,671\mathrm{.}42$

b$.$ $$4550\mathrm{.}42$

c$.-$$$6,671\mathrm{.}42$

d$.-$$$5850\mathrm{.}92$

e$.$ $$5850\mathrm{.}92$