Suppose you sell a March 2010 T-bond futures contract at 98:26. Now it is time to consider
Fantastic news! We've Found the answer you've been seeking!
Question:
Suppose you sell a March 2010 T-bond futures contract at 98:26. Now it is time to consider delivery. You want to deliver on 03/15/2010. There are two bonds you are considering using. Bond A, which is quoted at 98:17, has a 6.25% coupon that matures in 11/15/2032 with a conversion factor of 1.0310.; Bond B, which is quoted at 97:05, has 5.5% coupon that matures in 06/15/2030 with a conversion factor of 0.9403. Both bonds make semiannual coupon payments.
(1) Which bond should you use to deliver?
(2) What is the invoice price for the bond that you choose?
Related Book For
Posted Date: