Calculating Implied Annual Interest Rate
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Suppose the December CBOT Treasury bond futures contract has a quoted price of 80-07. The T-bond is a 20-year 6% coupon bond and the interest is paid semi-annually. What is the implied annual interest rate inherent in the futures contract?
a) 6.86
b) 7.22
c) 7.60
d) 8.00
e) 8.40
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The solution looks at calculating implied annual interest rates.
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- MBA, Aspen University
- Bachelor of Science , Berea College
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