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FIN459659
Quiz#2
You have 30 minutes to complete the quiz. The quiz is open book, open notes, open calculator. No
consulting with other students is allowed. Good luck!
1.
Treasury Bill futures quotations are based on the Treasury Bill IMM Index which is calculated
as:
a.
100 minus the APR on Treasury Notes
b.
The discount yield
c.
100 minus the annual discount yield
d.
100 minus the discount yield for the maturity of the Tbill.
2.
The Treasury Bill futures invoice price is:
a.
The price you pay for the futures contract.
b.
The price you pay for a cash Tbill.
c.
The price you pay for a 90 day Tbill upon delivery at the maturity of the futures.
d.
The price of a 180 day cash Tbill.
3.
The asked discount yield for a Tbill that has 80 days to maturity, a face value of $1,000,000
and an asked invoice price of $995,000 is:
a.
0.995%
b.
0.500%
c.
2.250%
d.
None of the above.
4.
Calculate the invoice price for a Tbill with a face value of $100,000, 165 days to maturity and
a discount yield of 5%
a.
$97,708.3
b.
$95,000.0
c.
$98,875.0
d.
None of the above.
According to our discussion in class (and in the book) the TBill futures price can be expressed
as:
f
o
(
h
)
=
B
o
(
h
+
m
)
B
o
(
h
)
Using the above equation answer the following question.
5.
f
o
(
h
)
is
a.
The current futures quoted price
b.
The current invoice price of the h+m maturity TBill
c.
The current invoice price of the
m
day TBill deliverable under the futures
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This note was uploaded on 02/09/2010 for the course FIN 459 taught by Professor Yildary during the Spring '07 term at Syracuse.
 Spring '07
 Yildary

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