What is the gain or loss on the futures contract

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Reference no: EM13305429

Suppose the December CBT Treasury bond futures contract has a quoted price of 103-18. If annual interest rates go up by 3.00 percentage point, what is the gain or loss on the futures contract? (Assume a $1,000 par value, round the new interest rate to 4 decimal places when written as a decimal, and round the change in price up to the nearest whole dollar.)

a)-$303.00
b)-$255.00
c)-$268.00
d)-$296.00
e)-$298.00

Reference no: EM13305429

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