On January 1, the Listed Spot and Futures Prices of a Treasury

question 81

Multiple Choice

On January 1, the listed spot and futures prices of a Treasury bond were 93.8 and 93.13. You purchased $100,000 par value Treasury bonds and sold one Treasury bond futures contract. One month later, the listed spot price and futures prices were 94 and 94.09, respectively. If you were to liquidate your position, your profits would be a

• A) $125 loss.
• B) $125 profit.
• C) $12.50 loss.
• D) $1,250 loss.
• E) None of the options are correct.

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Definitions:

Smoothing Constant

A smoothing constant is a parameter in exponential smoothing used to control the level of smoothing applied to a time series.

Holt-Winters Additive Model

A forecasting technique that applies weighted averages and seasonality to predict future data points.

Holt-Winters Multiplicative Model

A forecasting technique that accounts for trends and seasonality in time series data, using a multiplicative approach to model seasonal changes.

Seasonality

Seasonality refers to periodic fluctuations in data or variables that occur at regular intervals due to seasonal factors such as weather, holidays, and school calendars.