22-96 Calculate the Cash Flows on the Above Futures Contract $\Delta$

question 87

Multiple Choice

22-96 Calculate the cash flows on the above futures contract if all interest rates increase by 1.49 percent.(That is, $\Delta$ R/(1 + R) = 1.49 percent,and 1 bp = $25.)

• A)The long futures position earns a profit of $3,766.39.
• B)The short futures position earns a profit of $3,725.00.
• C)The long futures position earns a profit of $1.49 million.
• D)The short futures position earns a profit of $1.49 million.
• E)The short futures position earns a loss of $3,725.

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