A portfolio manager plans to buy three-month T-bills with the total face value of $1,000,000 in one month. The current price for three-month T-bills is $988,520. What is the fair forward price if the current effective annual risk-free rate over one month is 4%?
A) $950,500
B) $985,236
C) $988,520
D) $991,815
E) $1,028,061
Correct Answer:
Verified
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