Question: It is August 1 3 th , 2 0 1 8 . The cheapest - to - deliver bond in a December 2 0 1

It is August 13th,2018. The cheapest-to-deliver bond in a December 2018 Treasury bond futures
contract is a 9% coupon bond maturing in October 2025, with a quoted price of 107-17. Delivery is
expected to be made on December 31st,2018. The term structure is flat, and the rate of interest with
semi-annual compounding is 10% per annum. The conversion factor for the bond is 1.24. Calculate the
quoted futures price for the contract

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