Arbitrage in Treasury notes futures
Not what you're looking for?
Based solely on the following information, does an arbitrage opportunity exist (Treasury quotes in 100% of par, 32nds)?
JUN 10-year Treasury note futures contract 115-18
10-year Treasury note spot quote 115-00
Risk-free rate 1.75%
Expiration 90-days
Hint: To be arbitrage neutral, the futures price must equal the spot price adjusted for the cost of carry.
Purchase this Solution
Solution Summary
The solution answers whether arbitrage opportunity in Treasury notes futures.
Solution Preview
See the attached file.
Based solely on the following information, does an arbitrage opportunity exist (Treasury quotes in 100% of par, 32nds)?
JUN 10-year Treasury note futures contract 115-18
10-year Treasury note spot quote 115-00
Risk-free rate 1.75%
Expiration 90-days
Hint: To be arbitrage neutral, ...
Purchase this Solution
Free BrainMass Quizzes
Operations Management
This quiz tests a student's knowledge about Operations Management
Lean your Process
This quiz will help you understand the basic concepts of Lean.
Writing Business Plans
This quiz will test your understanding of how to write good business plans, the usual components of a good plan, purposes, terms, and writing style tips.
Social Media: Pinterest
This quiz introduces basic concepts of Pinterest social media
Understanding Management
This quiz will help you understand the dimensions of employee diversity as well as how to manage a culturally diverse workforce.