INVOICE PRICE ON FUTURES CONTRACT The conversion factor for a particular Treasury security that is acceptable for

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INVOICE PRICE ON FUTURES CONTRACT

The conversion factor for a particular Treasury security that is acceptable for delivery in a Treasury bond futures contract is 0.9345. The futures contractsettles at 108.5. The accrued interest on the Treasury security is 0.5 per $100 par amount.

(a) What is the contract size of the futures contract?

(b) What is the invoice price if the seller delivers this security at the settlement date?

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Related Book For answer-question

Bond Markets Analysis And Strategies

ISBN: 9780253337535

10th Edition

Authors: Frank J. Fabozzi, Francesco A. Fabozzi

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Posted Date: May 17, 2024 11:00 PM

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INVOICE PRICE ON FUTURES CONTRACT The conversion factor for a particular Treasury security that is acceptable for

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Bond Markets Analysis And Strategies

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