Schweser Reading 22 end of reading question 7 - Expected change in Value futures contract

CFA Level III
#1

Effective duration of futures contact = 3.25

Face value = $100,000

Current price = 102.5

What is expected change in value for 75 basis points increase?

I calulcated -

Change in price= -D* change in r

= -3.25 * .0075 = -0.024375

change in value = $100,000 * - 0.024375 = -2437.5

Answer is -2498.44

The answer seems to be multiplying 102.5. Why multiplation with 102.5 is required?

#2

The question is asking to calculate the expected change in market value, so you have to use the current market value of 1,000*$102.5 not the face value $100,000 .

#3

Thanks! I don’t see contract size of 100 mentioned in the question. Always assume contract size of 100 when not specified?

#4

Actually the quoted futures price is a percentage of the face value, so to be correct the market value should be calculated as 102.5% * $100,000 = $102,500.