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Question
Suppose a $100,000 T-Bond futures contract whose underlying's duration is 9 years and has a current market price of $98,750. Market interest rates are 6 percent today but are expected to rise 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. $12,577
B. -$12,577
C. $62,883
D. -$62,883
E. None of the options are correct
Answer
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