Reference no: EM132637878
The spot discount rates for two T-bills, 80-day T-bill and 170-day T-bill, are given below.
A) Based on the two T-bills's discount rates, what should be the quoted equilibrium price of an 80-day T-bill futures contract? Assume $1,000,000 face value. Keep in mind the quoted price is 100 - (discount rate). What should be the dollar amount implied by the futures quoted price (the amount to pay or to be paid at settlement)?
B) You took 10 long T-bill futures contact for delivery in 80 days. It is now 20 days later since you took the long futures position and the T-bill futures for delivery in 60 days is quoted at 95.50. Calculate your gains(losses) on your position.
A)Dollar amount for the futures $ 98,666,666.67Price Quoted $ 9,866.67B)Gain(loss) $ 34.96
Note: I have assumed a 360 Day count and a T-Bill Face Value of $100.00
What is the answer to question "Dollar Amount for the futures $"...how is that number calculated?
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