4.26.2005

Q&A: What's the actual futures price if a T-bill futures...

...has a discount rate of 5%?

A: T-bill Futures Price = (1 - r/100 * (90/360)) * $1,000,000 = (1 - 0.05 x (90/360)) * 1,000,000 = $987,500.

  • The quoted price is 100 - 5 = 95

Bonus Points

  • Treasure bill futures are contracts in which the underlying is a 90-day $1,000,000 of a US Treasury bill
  • Treasury bills are sold at a discount from par value. The price of a Treasury bill futures is quoted as 100 minus the discount rate used by the futures market to derive the contract price, or simply: price = 100 - rate. The value is called the IMM Index (IMM stands for International Monetary Market).

Category: C++ Quant > Derivatives > Options

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