|
|
|
|
|
|
|
|
| Chapter 23 - Financial Futures |
| 373 |
Table 23-6 is missing from the top of the page:
| Table 23-6: Strategy A: Buy $1m 20-year 6% T-Bonds on the run at 100:00
|
| Jan |
buy 20yr 6% T-Bonds at 100:00 |
- $1,000,000. |
- $1,000,000. |
| July |
If interest rates are: |
5% |
7% |
| coupon [$1,000,000 * 0.06/2] |
+ $30,000. |
+ $30,000. |
| sell 19.5 yr 6% T-Bonds at 5% [112:12] |
+ $1,123,750. |
|
| sell 19.5 yr 6% T-Bonds at 7% [89:14] |
|
+ $894,375. |
|
------------ |
------------ |
| Profit |
+ $153,750. |
- $75,625 |
| Rate of return (semi-annual) |
+ $15.3750% |
- $7.5625% |
|
|
|
|
|
|
|