CFA Practice Question

CFA Practice Question

A T-bill with 60 days to maturity and par value $1,000 has a discount rate of 3.6%. What is its price?
A. 994.00
B. 994.08
C. 964.00
Explanation: While quoting 90 day T-bill Futures price, the discount is annualized simply by multiplying by 4. Also number of days in a year is taken as 360 rather than 365.

User Contributed Comments 2

User Comment
jpducros 3,6 % is annual based discount = > 3,6/360 * 60 = 6 = Discount
cfastudypl thanks jpducros,
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