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.
Chapter8: Analysis Of Risk And Return
Section: Chapter Questions
Problem 10P
Related questions
Question
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 in
54 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.
Expert Solution
This question has been solved!
Explore an expertly crafted, step-by-step solution for a thorough understanding of key concepts.
Step by step
Solved in 2 steps
Recommended textbooks for you
EBK CONTEMPORARY FINANCIAL MANAGEMENT
Finance
ISBN:
9781337514835
Author:
MOYER
Publisher:
CENGAGE LEARNING - CONSIGNMENT
Intermediate Financial Management (MindTap Course…
Finance
ISBN:
9781337395083
Author:
Eugene F. Brigham, Phillip R. Daves
Publisher:
Cengage Learning
EBK CONTEMPORARY FINANCIAL MANAGEMENT
Finance
ISBN:
9781337514835
Author:
MOYER
Publisher:
CENGAGE LEARNING - CONSIGNMENT
Intermediate Financial Management (MindTap Course…
Finance
ISBN:
9781337395083
Author:
Eugene F. Brigham, Phillip R. Daves
Publisher:
Cengage Learning