Sarah, a portfolio manager plans to buy 1-month Treasury bills in 2 months. The total face amount of securities she plan
Posted: Sat Feb 26, 2022 9:07 am
Sarah, a portfolio manager plans to buy 1-month Treasury bills
in 2 months. The total face amount of securities she plans to buy
is $15 million. The current price for 3-month Treasury bills is
$994,483 per $1 million face amount. The current, effective, annual
risk-free rate over the 2 months is 1.11 percent. Calculate the
fair total forward price.
My professor marked 14,944,854.67 as the right
answer but i got something different
in 2 months. The total face amount of securities she plans to buy
is $15 million. The current price for 3-month Treasury bills is
$994,483 per $1 million face amount. The current, effective, annual
risk-free rate over the 2 months is 1.11 percent. Calculate the
fair total forward price.
My professor marked 14,944,854.67 as the right
answer but i got something different