If the quoted discount yield on a 128 day LIBOR $1 million T-bill descreases from 3.17% to 3.07%, how much has the holder of the T-bill gained or lost? a.) Lost $284 b.) Gained $800 c.) Gained $284 d.) Lost $800
I am getting Gained 400. May be I am doing something awfully wrong ! And why did you refer it to a FRA q ?
How is that D? I get the value $350
answer is C decrease in yields = increase for TBILL holder in the amount of (3.15%-3.07%) x (128/360) x 1,000,000= $284.444
There’s a typo in the question, the initial yield is written as 3.17 instead of 3.15 If you use 3.17 the answer comes to 355
nice catch nir, sorry bout that
Did anyone get this one?