Business Homework Solutions
#7353
Arbitrage opportunity for a T-bill
Based solely on the following information, does an arbitrage opportunity exist (Treasury quotes in 100% of par, 32nds)?
JUN 10-year Treasury note futures contract 115-18
10-year Treasury note spot quote 115-00
Risk-free rate 1.75%
Expiration 90-days
Hint: To be arbitrage neutral, the futures price must equal the spot price adjusted for the cost of carry.
The solution answers whether arbitrage opportunity in Treasury notes futures.
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