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That is what I thought at first as well.
But on CFAI book 6, page 66, under the heading Short-Term Interest Rate Futures Contracts they have:
- Treasury Bill Futures
- Eurodollar Futures
Both have the same pay off formula, and in both cases the long profits when interest rates fall.
Is this correct? |
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发表于 2011-7-13 15:52
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