Suppose a $100,000 T-Bond Futures Contract Whose Underlying's Duration Is

question 91

Multiple Choice

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

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