Suppose a T-Bond Futures Contract Has a Duration of 9

Question 47
Multiple Choice

Suppose a T-Bond futures contract has a duration of 9 years and has a current market price of $98,750. Market interest rates are 6 percent today but are expected to rise to 7.5 percent. What is the change in this futures contract's market price from this change in interest rates? A) +$12,577 B) -$12,577 C) +$62,883 D) -$62,883 E) -$33,578