Suppose a CBOT 10-Year U

question 8

Multiple Choice

Suppose a CBOT 10-year U.S.Treasury note futures contract has a quoted price of 103-18.If annual interest rates go up by 1.00 percentage point,what is the gain or loss on the futures contract? (Assume a $1,000 par value,round the new interest rate to 4 decimal places when written as a decimal,and round the change in price up to the nearest whole dollar.)

• A)−$61.00
• B)−$64.00
• C)−$67.00
• D)−$71.00
• E)−$75.00

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Definitions:

Random Variable

A variable characterized by numerical outcomes derived from phenomena of chance.

Population Mean

The average value of a given characteristic across the entire population.

Probability Distribution

A mathematical description of a random phenomenon in terms of the probabilities of various possible outcomes.

Sample Size

The number of observations or data points collected in a sample from a population.