Face value treasury bill futures contract

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Reference no: EM131969382

1. What is the duration of a $1 million face value 90-day Treasury bill futures contract?

2. The duration of a 20-year 8 percent Treasury coupon bond (paid annually) selling at par is 10.29 years. What is the impact on the Treasury bond price if interest rates increase 50 basis points? The current interest rate =8%.

Reference no: EM131969382

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