CFA Level I sample question

CFA Level I Pricing and Valuation of Futures Contracts question

Derivatives / Pricing and Valuation of Futures Contracts

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Pricing and Valuation of Futures Contracts sample question

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Derivatives

Pricing and Valuation of Futures Contracts

Ingrid Larsen is long one three-month interest rate futures contract with a notional principal of USD 1,000,000. The contract is quoted at 97.50 when she buys it, implying an annualized market reference rate of 2.50%. At the next daily settlement, the quoted price is 97.26. Using a 90/360 period adjustment, the mark-to-market settlement on Larsen's position for that day is closest to:

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