Question

Suppose a Eurodollar time deposit futures contract whose underlying's duration is 0.5 years and has a current market price of $950,000. Market interest rates are 8.5 percent and are expected to fall to 7.5 percent. What is the expected change in this futures contract's market price as a result of this change in interest rates?

A. $4,378

B. -$4,378

C. $30,645

D. -$30,645

E. None of the options are correct

Answer

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