**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*

## No comments:

## Post a Comment