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.
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Profit + $153,750. - $75,625
Rate of return (semi-annual) + $15.3750% - $7.5625%