Question: Consider a coupon bond with payment dates T1 < T2 < < Tn. For each i = 1, 2, ... , n, let Yi

Consider a coupon bond with payment dates T1 < T2 < ··· < Tn. For each i = 1, 2, ... , n, let Yi be the sure payment at time Ti. For some t < T < Ti, let T,Ti t denote the futures price at time t for delivery at time T of the zero-coupon bond maturing at time Ti with a unit payment. Show that futures price at time t for delivery at time T of the coupon bond satisfies

T,cpn t =

Ti>T YiT,Ti t .

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