A 160-day T-bill is quoted at 6% and a 250-day bill is priced at 6.5%. Calculate the no-arbitrage price of a 90-day future. A. 0.98540520833333333333 B. 0.96450520833333333333 C. 0.99440520833333333333 EDIT: I made this Q, so the options might not be correct or accurate.
160 Day T-Bill price = (1-.06*160/360)=.97333 250 day t-Bill = (1-.065*250/360) = .95486 90 days future price = .95486/.97333 = .98102 so none of your answer choices seems to be correct…
You are always correct cpk! 160 Day Price = 1 - 0.06*160/360 = 0.9733333333 250 Day Price = 1 - 0.065*250/360 = 0.954861111 160 day RFR yield = (1-0.97333333)/0.97333333 = 0.02739726027397 FP = S0*(1 + Rf)^t = 0.9548611111111111*1.0273972602739761 = 0.9810216894977 I messed up up initial calculations and devised the ans choice A (which was supposed to be the right ans.)
in most of the questions esp. for t-bill --> 250 day price / 160 day price = FP… (this is a shortcut that can be used). No need to find the rfr the way you have done…
cool Thx.