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How should the parity condition Equation 17.2 for stocks be modified for futures contracts on Treasury bonds What should play the role of the dividend yield in that equation In an environment

  1. a. How should the parity condition (Equation 17.2) for stocks be modified for futures contracts on Treasury bonds? What should play the role of the dividend yield in that equation?

    1. In an environment with an upward-sloping yield curve, should T-bond futures prices on more distant contracts be higher or lower than those on near-term contracts?

    2. Confirm your intuition by examining Figure 17.1. (LO 17-3)

Jun 16 2020 View more View Less

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