10 year US Treasury spot cash price $102 10 year US Treasury yield to maturity 2.25% Risk free rate 0.75% 10 year CBOT US Treasury Note Futures Price 90 days $101.5 You are a fixed income warrior....you see the above information....what trade can you put on to arbitrage the relationship...how much per million notional would you profit? Assume the 10 year US Treasury is the deliverable security under the contract

10 year US Treasury spot cash price $102 10 year US Treasury yield to maturity 2.25% Risk free rate 0.75% 10 year CBOT US Treasury Note Futures Price 90 days $101.5 You are a fixed income warrior....you see the above information....what trade can you put on to arbitrage the relationship...how much per million notional would you profit? Assume the 10 year US Treasury is the deliverable security under the contract

EBK CONTEMPORARY FINANCIAL MANAGEMENT

14th Edition

ISBN:9781337514835

Author:MOYER

Publisher:MOYER

Chapter8: Analysis Of Risk And Return

Section: Chapter Questions

Problem 9P

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