文件第6章利率练习题问题.pdfVIP

CHAPTER 6 Interest Rate Futures Practice Questions Problem 6.8. The price of a 90-day Treasury bill is quoted as 10.00. What continuously compounded return (on an actual/365 basis) does an investor earn on the Treasury bill for the 90-day period? The cash price of the Treasury bill is 90 100− × 10 = $97.50 360 The annualized continuously compounded return is