Suppose you were short in a September T-bond futures contract at 93-16. What would your profit...

 

Transcribed Image Text:

Suppose you were short in a September T-bond futures contract at 93-16. What would your profit or loss be at the September expiration if the cheapest deliverable bond you could purchase in the market were a 15-year, 7% T-bond trading at 115 (clean price) that had accrued interests of $2 and a conversion factor of 1.25? Suppose you were short in a September T-bond futures contract at 93-16. What would your profit or loss be at the September expiration if the cheapest deliverable bond you could purchase in the market were a 15-year, 7% T-bond trading at 115 (clean price) that had accrued interests of $2 and a conversion factor of 1.25?

Answer rating: 100% (QA)

To calculate the profit or loss from a short position in a Tbond futures contract you need to determ... View the full answer