You see the current 3-month T-bill quoted on a discount basis at 1.9325-1.9250. The T-bill has...

You see the current 3-month T-bill quoted on a discount basis at 1.9325-1.9250. The T-bill has a $10,000 face value. The T-bill has 86 days until maturity. What is the bid-ask spread on this quote on a price basis rounded to the nearest cent?

Expert Solution

We see that the bid ask spread is given as=10000*(1-1.925%*86/360)-10000*(1-1.9325%*86/360)
=0.17917

jeff jeffy answered 2 years ago

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