New value of the futures contract


A Treasury bond futures contract settles at 105'8.

a. What is the present value of the futures contract in dollars?

b. If the contract settles at 105-8, are current market interest rates higher or lower than the standardized rate on a futures contract? Explain.

c. Calculate the implied annual interest rate on the futures contract?

d. Calculate the new value of the futures contract if interest rates increase by 1 percentage point annually.

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Finance Basics: New value of the futures contract
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