Question: please need urgent answer for this question thanks It is July 30, 2013. The cheapest-to-deliver bond in a September 2012 Treasury bond futures contract is
It is July 30, 2013. The cheapest-to-deliver bond in a September 2012 Treasury bond futures contract is a 13% coupon bond, and delivery is expected to be made on September 30, 2013. Coupon payments on the bond are made on February 4 and August 4 each year. The term structure is flat, and the rate of interest with semiannualcompounding is 12% per annum. The conversion factor for the bond is 1.3. The current quoted bond price is $125. There are 176 days between February 4 and July 30 and 181 days between February 4 and August 4. The futures contract lasts for 62 days. At delivery there are 57 days of accrued interest. Calculate the quoted futures price for the contract. (Total 10')
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