What is the futures price of contract expiring

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A trader downloads the following discounts for T-Bills being traded currently. Maturity Rate 60 Day 2.15% 67 Day 2.20% 95 Day 2.28% 97 Day 2.39% 128 Day 2.98% 187 Day 3.29% 188 Day 3.32% 2a. What is the futures price of a contract expiring in 97 days written on a 91-Day T-Bill? 2b. What is the value of this contract? 2c. Suppose the trader shorted the above contract. What is his gain/loss after 33 days have passed if the T-Bill discounts are: Maturity Rate 33 Day 0.18% 54 Day 0.79% 63 Day 1.59% 64 Day 1.61% 97 Day 1.98% 124 Day 2.24% 142 Day 2.52% 155 Day 2.61% 182 Day 2.93%.

Reference no: EM131982584

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