Question: Fi 4200 Homework Exercise No. 4 (You may work in pairs and turn in a single document with both students names on it; due date

Fi 4200 Homework Exercise No. 4 (You may work in pairs and turn in a single document with both students names on it; due date Monday 9/25/17)

Futures prices can be found at the two WSJ sources or go to the exchange website www.cmegroup.com, then under Trading click Interest Rates and then look for the relevant futures you are seeking (e.g., Eurodollar futures, U. S. Treasury bond futures and so forth). (If you dont see your contract listed, then click View All IR Products.) Click the contract name and then click Settlements for the relevant calendar day (note that historic settlement prices are available for the last five days). Alternatively, look for or type Daily Bulletin in the search box and click on PG09 for interest rate futures. For history Daily Bulletins, click View Historic Bulletins .

3-Calculate the duration of the December 2017, March 2018, and June 2023 Eurodollar futures contracts.

Fi 4200 Homework Exercise No. 4 (You may work in pairs and

Eurodollar (CME)-$1,000,000; pts of 100% Open 98.6725 98.6425 98.6000 Open Int 98.6750 98.6425 98.6000 98.5500 98.6725 98.6720 98.6350 98.5900 98.5300 98.4450 98.7200 98.6800 98.6600 98.6550 98.4900 1,194,968 98.5900 98.3350 98.2000 98.0500 97.9150 98.5300 0200 2,091,485 1,170,231 1,608,699 771,047 0200 98.3850 98.3300 98.2450 98.2000 98.1650 98.3900 98.3650 98.3050 98.2250 98.5500 98.3100 98.5050 98.2450 98.2050 98.1650 98.4150 98.3900 98.3600 98.3050 98.2750 98.2400 98.2050 0200 97.6800 97.5950 97.5100 97.4250 97.3750 97.3250 97.2800 97.2250 97.1850 97.1500 97.1050 97.0600 97.0250 96.9950 96.9650 96.9350 96.9150 96.8950 98.1400 98.1000 98.1450 98.1100 98.0500 98.0150 97.9800 97.9450 97.8950 97.8650 97.8250 97.7800 97.7300 97.7000 97.6550 97.6100 97.5650 97.5400 97.5050 0200 913,613 466,367 371,965 98.0650 98.0300 97.9950 97.9600 97.9100 97.8800 97.8350 97.8000 97.7500 97.7150 97.6700 97.6350 97.5900 97.5550 97.5200 98.0650 98.0300 97.9950 97.9600 97.9100 97.8800 98.0100 0200 0200 0200 0200 0200 0200 Jun 20 97.8850 97.8550 97.8150 328,821 215,453 Mar 21 98.0800 97.8000 95,761 129,782 75,081 Dec 21 97.9850 97.9450 97.9000 97.8550 97.8100 97.7700 97.7250 97.7150 97.6750 97.6350 97.5900 97.5600 97.5250 97.6900 Jun 22 18,833 97.5600 97.5300 97.4950 13,230 Jun 23 Eurodollar (CME)-$1,000,000; pts of 100% Open 98.6725 98.6425 98.6000 Open Int 98.6750 98.6425 98.6000 98.5500 98.6725 98.6720 98.6350 98.5900 98.5300 98.4450 98.7200 98.6800 98.6600 98.6550 98.4900 1,194,968 98.5900 98.3350 98.2000 98.0500 97.9150 98.5300 0200 2,091,485 1,170,231 1,608,699 771,047 0200 98.3850 98.3300 98.2450 98.2000 98.1650 98.3900 98.3650 98.3050 98.2250 98.5500 98.3100 98.5050 98.2450 98.2050 98.1650 98.4150 98.3900 98.3600 98.3050 98.2750 98.2400 98.2050 0200 97.6800 97.5950 97.5100 97.4250 97.3750 97.3250 97.2800 97.2250 97.1850 97.1500 97.1050 97.0600 97.0250 96.9950 96.9650 96.9350 96.9150 96.8950 98.1400 98.1000 98.1450 98.1100 98.0500 98.0150 97.9800 97.9450 97.8950 97.8650 97.8250 97.7800 97.7300 97.7000 97.6550 97.6100 97.5650 97.5400 97.5050 0200 913,613 466,367 371,965 98.0650 98.0300 97.9950 97.9600 97.9100 97.8800 97.8350 97.8000 97.7500 97.7150 97.6700 97.6350 97.5900 97.5550 97.5200 98.0650 98.0300 97.9950 97.9600 97.9100 97.8800 98.0100 0200 0200 0200 0200 0200 0200 Jun 20 97.8850 97.8550 97.8150 328,821 215,453 Mar 21 98.0800 97.8000 95,761 129,782 75,081 Dec 21 97.9850 97.9450 97.9000 97.8550 97.8100 97.7700 97.7250 97.7150 97.6750 97.6350 97.5900 97.5600 97.5250 97.6900 Jun 22 18,833 97.5600 97.5300 97.4950 13,230 Jun 23

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