
Essentials Of Investments
11th Edition
ISBN: 9781260013924
Author: Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher: Mcgraw-hill Education,
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A Treasury Bond with $1,000 par value and 6 years to maturity pays a 6% semiannual coupon. The YTM is 8%, APR semi-annual compounding. A coupon has just been paid. A futures contract expiring in 15 months calls for delivery of this bond only. The risk-free rate is 5% EAR. Calculate the futures price
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