Chicago Mercantile Exchange 13-week short-term US Treasury futures offer 93.58. What is the transaction price? Please give the calculation process? The answer is 983950.
It seems a little late, but it's not too late to give an answer! Students, when the trading index is 93.58, the annual embodiment rate is 100-93.58=6.42%. Because it is 13-week short-term treasury bond futures, the three-month discount rate is 6.42%/4= 1.605%, so the transaction price is 10000.