Question: A U . S . Treasury bond with a 2 0 year maturity is deliverable for a futures contract that settles in 6 months. The

A U.S. Treasury bond with a 20 year maturity is deliverable for a futures contract that settles in 6 months.
The coupon rate on the bond is 5% and the bond is selling at par ($100). The price of the futures contract
is $98 and the borrowing/lending rate is 3%.
a. Specify the cash flows from a synthetic futures contract that allows you to earn arbitrage profits if you sell or are short the futures contract
Specify your arbitrage profits?
b. What price for the futures contract specified above eliminates arbitrage opportunities?

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