Homework Answers
Interest Rate Futures Price of 95.6 means current Interest Rate is (100-95.6) = 4.4%
If expected Interest Rate in Future is 5.3%, Price of Futures Contract will be (100-5.3) = 94.7
As Price is Expected to Fall, Futures Contract should be Shorted i.e. Sold
Expected Profit = Notional Size of Contract*(Current Price-Expected Price)/100 = 1000000*(95.6-94.7)/100 = 1000000*0.9/100 = EUR 9000
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