Question

A Treasury Bond futures contract is selling in the market for $98,225 and has a duration of 8 years. The same Treasury Bond is selling in the cash market for $98,625 and has a duration of 8.25 years. What is the basis for this futures contract?

A. $400

B. 0.25 years

C. $28,156.25

D. $1,600

E. None of the options are correct

Answer

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