Calculate the Cash Flows on the Above Futures Contract If

Multiple Choice

Calculate the cash flows on the above futures contract if all interest rates increase by 1.49 percent. (That is, ΔR/(1 + R) = 1.49 percent, and 1 bp = $25.)

A) The long futures position earns a profit of $3,766.39.
B) The short futures position earns a profit of $3,725.00.
C) The long futures position earns a profit of $1.49 million.
D) The short futures position earns a profit of $1.49 million.
E) The short futures position suffers a loss of $3,725.