- Interest rate is 7.25% compounded daily, for 270-day T-bills in the spot market.
- Interest rate is 7.10% compounded daily, for 180-day T-bills in the spot market.
- The futures rate is 7.50% for T-bills with 90 days to maturity, to be delivered 180 days from now.
23. In this problem, there are two ways to invest for a 270-day period. One way is to buy 270-day bills, which yields 7.25%. The other is to buy 180-day bills and then contract to ...
This posting explains a three step arbitrage strategy for the given problem in 123 words.