It is March 10, 2011. The cheapest-to-deliver bond in a December 2011 Treasury bond futures contract is
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It is March 10, 2011. The cheapest-to-deliver bond in a December 2011 Treasury bond futures contract is an \(8 \%\) coupon bond, and delivery is expected to be made on December 31, 2011. Coupon payments on the bond are made on March 1 and September 1 each year. The rate of interest with continuous compounding is \(5 \%\) per annum for all maturities. The conversion factor for the bond is 1.2191. The current quoted bond price is \(\$ 137\). Calculate the quoted futures price for the contract.
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