The current quoted price of a 13% coupon bond is $110. It pays coupon semiannually. The...
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The current quoted price of a 13% coupon bond is $110. It pays coupon semiannually. The next coupon will be paid in 6days (total number of days in this semiannual period is 181) and the futures contract will last for 62days. The term structure rate of interest is flat at 12% and the conversion factor for the bond is 1.5. Assume there is 184days in half year for the futures. Compute the quoted futures price of the contract. (A) $110.01 (B) $73.34 (C) $112.03 (D) $109.83 The current quoted price of a 13% coupon bond is $110. It pays coupon semiannually. The next coupon will be paid in 6days (total number of days in this semiannual period is 181) and the futures contract will last for 62days. The term structure rate of interest is flat at 12% and the conversion factor for the bond is 1.5. Assume there is 184days in half year for the futures. Compute the quoted futures price of the contract. (A) $110.01 (B) $73.34 (C) $112.03 (D) $109.83
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