At the beginning of December, the 3-month T-Bill futures for March is priced at 99 (actual price, not the annualized, discount basis price), the spot 3-month T-Bill is trading at 98.5, and there is a 6-month T-Bill futures for June selling for 98.01. The spot price for the 6-month T-bill is 97.515. If you can go long or short on any of these bonds (borrow or lend at any of these rates), show how you can make a profit.
At the beginning of December, the 3-month T-Bill futures for March is priced at 99 (actual price, not the annualized, discount basis price), the spot 3-month T-Bill is trading at 98.5, and there is a 6-month T-Bill futures for June selling for 98.01. The spot price for the 6-month T-bill is 97.515. If you can go long or short on any of these bonds (borrow or lend at any of these rates), show how you can make a profit.
Essentials Of Investments
11th Edition
ISBN:9781260013924
Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Chapter1: Investments: Background And Issues
Section: Chapter Questions
Problem 1PS
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At the beginning of December, the 3-month T-Bill futures for March is priced at 99 (actual price, not the annualized, discount basis price), the spot 3-month T-Bill is trading at 98.5, and there is a 6-month T-Bill futures for June selling for 98.01. The spot price for the 6-month T-bill is 97.515. If you can go long or short on any of these bonds (borrow or lend at any of these rates), show how you can make a profit.
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