The standard bond in the Treasury bond futures contract has a coupon of 6%. If, instead, delivery

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The “standard bond” in the Treasury bond futures contract has a coupon of 6%. If, instead, delivery is made of a 5% bond of maturity 18 years, what is the conversion factor for settlement of the contract? Assume the last coupon was just paid.

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Derivatives Principles And Practice

ISBN: 9780078034732

2nd Edition

Authors: Rangarajan Sundaram

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Question Posted: Jan 10, 2024 01:00 AM

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The standard bond in the Treasury bond futures contract has a coupon of 6%. If, instead, delivery

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Assume a principal amount of 100 Then the bond pays 250 ...View the full answer

Derivatives Principles And Practice

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