On March 16, the March Treasury bond futures settlement price was 101 21/32. Assume that the 12

Question:

On March 16, the March Treasury bond futures settlement price was 101 21/32. Assume that the 12 1/2 percent bond maturing in about 22 years is the cheapest bond to deliver. The CF is 1.4639. Assume that the price at 3:00 P.M. was 150 15/32. Determine the price at 5:00 P.M. that would be necessary to justify delivery?