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Question 8.P.7: By what amount will the market value of a Treasury bond futu...

By what amount will the market value of a Treasury bond futures contract change if interest rates rise from 5 to 5.75 percent? The underlying Treasury bond has a duration of 10.48 years and the Treasury bond futures contract is currently quoted at 113-06 (Remember that Treasury bonds are quoted in 32nds)

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Change in value = -10.48 x $113,179.69 x.0075/ (1+.05) = -$8,472.31

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