Problem: The following prices are observed. Formulate an arbitrage strategy to profit from the situation.
- Interest rate is 7.25% compounded daily, for 270-day T-bills in the spot market.
- Interest rate is 7.10% compounded daily, for 180-day T-bills in the spot market.
- The futures rate is 7.50% for T-bills with 90 days to maturity, to be delivered 180 days from now.