Question: Problem 6 . 1 . A U . S . Treasury bond pays a 7 % coupon on January 7 and July 7 . How
Problem A US Treasury bond pays a coupon on January and July How much interest accrues per $ of principal to the bond holder between July and August How would your answer be different if it were a corporate bond? Problem It is January The price of a Treasury bond with a coupon that matures on October is quoted as What is the cash price? Problem How is the conversion factor of a bond calculated by the CME Group? How is it used? Problem A Eurodollar futures price changes from to What is the gain or loss to an trader who is long two contracts? Problem What is the purpose of the convexity adjustment made to Eurodollar futures rates? Why is the convexity adjustment necessary?
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