Suppose That the Opening Yield in the 90-Day Bill Market

question 84

Essay

Suppose that the opening yield in the 90-day bill market usually varies by two basis points (up or down)from the closing rate on the previous business day.Calculate the price risk faced by a dealer who is holding 90-day bills with a face value of $100 million, given that the market closed at 5.00 per cent.

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