Montrose Private Limited is expecting a cash inflow of $360 000 which it intends to invest in a short-term deposit account when received. However the firm is concerned about short-term interest rates...

Montrose Private Limited is expecting a cash inflow of $360 000 which it intends to invest in a short-term deposit account when received. However the firm is concerned about short-term interest rates which are set to decline between now and then, hence the need to puta long hedge on the exposure. Suppose that the current deposit rate on the Zimbabwean money market is 16% per annum, each futures contract is worth $4 800 and the price of the futures contract is set at 90.5% today. Show the transactions to be obtained in both cash and futures markets assuming that the rollover date is 2months from today and the interest rate will be 12% per annum (400 basis points) below the initial rate, to be quarterly apportioned at the time the cash flow is received.