What is the gain or loss on the cash and futures position

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Reference no: EM132007475

An investor has $50,000 in T-bills wishes to hedge his position. Given the following information, what is the gain or loss on the cash and futures position?

At t = 0, T-bills sell at 96% of par and Futures contract ($1,000) is 96 1/2

At t < t + 1, Interest rates have fallen. T-bills sell at 96 1/4 of par and Futures contract ($1,000) is 96 3/4.

Reference no: EM132007475

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