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

This answer is hidden. It contains 1 characters.