The contract size for T-bond futures is $100,000. If bond futures decline from 96-04 to 94-12 the change in equity in a one-contract short futures position would be? (ignore transaction cost)© BrainMass Inc. brainmass.com September 26, 2022, 9:19 pm ad1c9bdddf
The bond prices are quoted in dollars and 32 nds of a dollar
Thus a quote of 96-04 means 96 4/32 dollars= $96.1250
A quote of 94-12 means 94 12/32 dollars= $94.3750
The solution calculates the change in equity in a one-contract short futures position for a T-bond futures contract.