Demonstrate how you can use a ted spread

Reference no: EM13300967

Suppose that one day in early April, you observe the following prices on futures contracts maturing in June: 97.65 for Eurodollar and 98.25 for T-Bill. These prices imply three month LIBOR and T-Bill settlement yields of 2.35 percent and 1.75 percent, respectively. You think that over the next quarter the general level of interest rates will rise while the credit spread built into LIBOR will narrow. Demonstrate how you can use a TED (Treasury/Eurodollar) spread, which is a simultaneous long (short) position in a Eurodollar contract and short (long) position in the T-Bill contract, to create a position that will benefit from these views.

Reference no: EM13300967

Questions Cloud

Determine the directing effects of the substituents : Consider the directing effects of the substituents on salicylamide and predict the possible structures of the iodination products. Which do you think will be the major product? Explain your reasoning

Find smallest possible nonzero value for thickness of layer : You are standing in air and are looking at a flat piece of glass (n = 1.52) on which there is a layer of transparent plastic, Find the smallest possible nonzero value for the thickness of the layer

Calculate the average number in the queue : Calculate the average number in the queue, average number in the system, average time in the queue, average time in the system, the system utilization rate, and the probability that the system is empty.

Compute the concentration of an pilocarpine solution : Calculate the concentration of an pilocarpine solution with a pH = 9.34. The Kb of pilocarpine is 7.41x10-8 i need to know the steps to do problems like this one, if the steps can be simplified that would be great, thanks a lot.

Demonstrate how you can use a ted spread : Demonstrate how you can use a TED (Treasury/Eurodollar) spread, which is a simultaneous long (short) position in a Eurodollar contract and short (long) position in the T-Bill contract, to create a position that will benefit from these views.

Linear and horizontal flow through linear beds in series : Linear and horizontal flow through linear beds in series. Calculate the total oil rate bbl/d through all media, when the following data is given:

What is the potential of the second plate : One member of a pair of parallel conducting plates has potential 17 V. An electron is ejected from that plate at potential, What is the potential of the second plate

Evaluate the equilibrium concentration of gasoline : This provides an estimate of the equilibrium concentration of gasoline in contact with the plastic. What percent of the gasoline in the initially full 2 gallon container is lost in a year

How do you account for the difference in amounts : Determine the effective price at which you purchased your sugar. How do you account for the difference in amounts for the spot and hedge positions?

User Account

All Pages