Interest Rate Futures

Practice Questions

Problem 6th. 8.

The price of a 90-day Treasury expenses is offered as twelve. 00. What continuously exponentially boosted return (on an actual/365 basis) will an investor earn on the Treasury bill pertaining to the 90-day period?

The cash value of the Treasury bill is definitely

The annualized constantly compounded return is

Problem 6th. 9.

It truly is May your five, 2010. The quoted cost of a authorities bond having a 12% discount that matures on Come july 1st 27, 2014, is 110-17. What is the money price?

The number of days and nights between January 27, 2010 and May 5, 2010 is 98. The amount of days among January 27, 2010 and July 28, 2010 is usually 181. The accrued fascination is as a result

The quoted price are 110. 5312. The cash price are therefore

or $113. 78.

Problem 6th. 10.

Guess that the Treasury bond options contracts price is 101-12. Which from the following four bonds can be cheapest to deliver?



Change Factor

one particular


1 ) 2131



1 . 3792



1 ) 1149



1 . 4026

The cheapest-to-deliver relationship is the one for which

is least. Calculating this factor for every of the 4 bonds we have

Relationship 4 is therefore the most affordable to deliver.

Problem 6th. 11.

It truly is July 35, 2012. The cheapest-to-deliver bond in a Sept 2012 Treasury bond futures contract can be described as 13% discount bond, and delivery is usually expected to be produced on Sept. 2010 30, 2012. Coupon repayments on the connect are made about February 4 and September 4 each year. The term framework is level, and the interest rates with semiannual compounding is 12% per year. The alteration factor pertaining to the bond is 1 . 5. The existing quoted connection price is $110. Calculate the quoted futures and options price to get the deal.

You will discover 176 days and nights between February 4 and July 30 and 181 days between February 4 and August 4. The cash price from the bond is definitely, therefore:

The rate of interest with ongoing compounding is definitely or 14. 65% per year. A coupon of 6th. 5 will probably be received in 5 days years) time. The...


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