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Eurodollar and Fed Funds Futures
Posted: 08 February 2010 09:36 PM   Ignore ]  
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Total Posts:  1
Joined  2010-02-08

Can anyone help me solve this question….

As of February 5, 2002, two Treasury bonds were priced as follows:
Coupon     Maturity     TED Spread   DV01
3.625     8/31/2003       31.1           1.53
4.500     11/15/2003       35.7           1.75
Qualitatively describe a spread of spreads trade suggested by these
numbers. How much would a trade involving $100,000,000 of the
4.5s of November 15, 2003, make if the TED spread of the two
bonds immediately equalized?

mahen

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