Consider a Treasury bond futures with the delivery in 205 days. The cheapest to delivery bond has a 8%coupon per annum, which is paid semi - annually. The bond has a conversion factor of 1.35. The next coupon is in54 days from now, and the next coupon thereafter is in 237 days from now. The term structure is flat with 8%interest rate (continuous compounding). If the cash futures price is $108.40, what is the quoted futures price?Show your calculations.

Consider a Treasury bond futures with the delivery in 205 days. The cheapest to delivery bond has a 8%coupon per annum, which is paid semi - annually. The bond has a conversion factor of 1.35. The next coupon is in54 days from now, and the next coupon thereafter is in 237 days from now. The term structure is flat with 8%interest rate (continuous compounding). If the cash futures price is $108.40, what is the quoted futures price?Show your calculations.

EBK CONTEMPORARY FINANCIAL MANAGEMENT

14th Edition

ISBN:9781337514835

Author:MOYER

Publisher:MOYER

Chapter8: Analysis Of Risk And Return

Section: Chapter Questions

Problem 10P

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