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Question
Julie Wells has found a Treasury Bond futures contract whose underlying's duration is 8.5 years and is currently selling for $97,500. Interest rates are currently 8% and are expected to rise by 1.5%. What is the expected change in the future contract's price for this change in interest rates?
A. $1,462.50
B. $12,431.25
C. -$11,510.42
D. -$1,462.50
E. -$12,431.25
Answer
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