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Hi SIR
for futures profit/loss the answer given by kaplan kit is
If interest rates decrease by 0.9% to 3.19%
Investment return (from above) = $478,400
Expected futures price = 100 – 3.19 – 0.46 = 96.35
Gain on the futures market = (0.9635 – 0.9476) × $2,000,000 × 3/12 × 32 = $254,400
Net return = $732,800
Effective annual interest rate (as above) = 4.58.1) why did they use “0.9635-0.9476” ie they seemed to have used tick of 0.01 when the question clearly doesnt sugeest any ticks?
2) i know in your lectures u mentioned u dont use ticks… but as per my answer(94.76-96.35)* 2m*3/12*32=ull get profits 25.44m as gain whih i know is not possbile..so can u suggest how to find gain without using ticks here as most solutions in kaplan is using ticks here
The answer as you have typed it has not used ticks.
With interest rate futures, the quotes are effectively percentages. So when calculating the gain or loss we always divide by 400 (100 because it is a %, and 4 because it is for three months i.e. 3/12).
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