It is July 30, 2013. The cheapest-to-deliver bond in a September 2013 Treasury bond futures contract is
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It is July 30, 2013. The cheapest-to-deliver bond in a September 2013 Treasury bond futures contract is a 13\% coupon bond, and delivery is expected to be made on September 30, 2013. Coupon payments on the bond are made on February 4 and August 4 each year. The term structure is flat, and the rate of interest with semiannual compounding is \(12 \%\) per annum. The conversion factor for the bond is 1.5 . The current quoted bond price is \(\$ 110\). Calculate the quoted futures price for the contract.
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Calculating the Quoted Futures Price We can calculate the quoted futures price for the September 201...View the full answer
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