Effective annual t-bill rate


Contract Maturity Data    Actual Futures Price

January 15    $105.00
March 15       $105.10

Suppose the effective annual T-Bill rate is expected to persist at 5% and that the dividend yield is 4% per year. Calculate the "correct" March futures price relative to the January price and comment on any arbitrage opportunity.

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Finance Basics: Effective annual t-bill rate
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