Suppose That the 10-Year 90-Day Bank Accepted Bill Futures Price

Short Answer

Suppose that the 10-year 90-day bank accepted bill futures price quote is 92.38 and the standard deviation of the change in the yield is 1.4% per annum continuously compounded). Determine the forward rate continuously compounded) by allowing for convexity adjustment. Answer as a per cent with two decimal places. _ _ _ _ _ _ _ _