Q9) It is July 30,2015 . The cheapest-to-deliver bond in a September 2015 Treasury bond...
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Q9) It is July 30,2015 . The cheapest-to-deliver bond in a September 2015 Treasury bond futures contract is a 14\% coupon bond, and delivery is expected to be made on September 30, 2015. Coupon payments on the bond are made on February 4 and August 4 each year. The term structure is flat, and the rate of interest with semiannual compounding is 13% per annum. The conversion factor for the bond is 1.5. The current quoted bond price is $110. Calculate the quoted futures price for the contract
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