Question: It is March 1 0 , 2 0 2 2 . The cheapest to deliver bond in a December 2 0 2 2 Treasury bond

It is March 10,2022. The cheapesttodeliver bond in a December 2022 Treasury bond futures contract is an 8% coupon bond, and delivery is expected to be made on December 31,2022. Coupon payments on the bond are made on March 1 and September 1 each year. The rate of interest with continuous compounding is 5% per annum for all maturities. The conversion factor for the bond is 1.2191. The current quoted bond price is $137. Calculate the quoted futures price for the contract.

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