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10.

I. ,

moneyness

Tbills -

, - $ 0,01

- $ 1000 $ 10000

- $ 25 000

- Tbill

, , , ,

Tbills

- Moneyness
-

/ predictibility

--not

--changes

, ,

- , ,

-
II.

, F, , N

, P

P <F

Tbill, 90

N = 90/365

F = $ 10000, = 5% ()

P?

=
= $ 9878,20
2

Tbill, 180

F = $ 10 000, P = $ 9700

= 6,27%

<, =,>

N = 3, = 6%

F = $ 10 000, P = $ 9850

0,06 (10 000) = $ 600

$ 300 6 .

PV = $ 9850

6 $ 300
1 . $ 300
1,5 . $ 300
.
.
.
3 $ 10 300

?

6% , F = $ 10 000

= 6,5%

= 6,56%

P R

P ,

P N

, P

- N, P
- N, P

>
P <F ()

<
P> F ()

 P = F ()
III.

1 .,
P?

( )

( )

stuck

5% 6% ,

10% 11%

5% 6%

5 6 20%

10 11 10%

.., ,

. % 1 .

7- , 7%, 6%

10- , 7,5%, 8%

?

:
7-
10-

6.5%
7%
7,5%

7%
7,5%
8%


$ 972
$ 945
$ 919

$ 1071
$ 1035
$ 1000

=
-
( - )
D7=
972 - 919
945 (0,075 - 0,065)
= 5,6
= 6.9
D 10 =
1071 - 1000
1035 (0,08 - 0,07)

7 . 5,6%,
7% 8%

10 . 6,9%,
7,5% 8,5%

10-