Question: I need help constructing a spreadsheet to answer the question below with step by step instructions, and explanations of what s being done, and why.
I need help constructing a spreadsheet to answer the question below with step by step instructions, and explanations of whats being done, and why. Use market data taken from the cmegroup.com, WSJ andor WSJ online that reflects closing prices from Tuesday, May Please make sure ALL CELLS are visible in the solution. Someone keeps posting the same solution, referencing column J but didn't include column J in the screenshot.
Calculating Futures Duration:
a Calculate the implied futures rate, duration, and modified duration of the June year TNote futures contract assume that this futures contract is pricing a year note with a coupon, semiannual compounding
b What is the modified duration of the June September and September month SOFR futures contracts?
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