The price of a 100 Par Value T-Bond maturing in 15 years and paying a...
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Finance
The price of a 100 Par Value T-Bond maturing in 15 years and paying a 7% coupon is 130. The bond's futures contract settling in 1 month is priced at 135. The one month CD rate is 1%. What is the theoretical futures price? Hint: First determine which strategy (buy bond/short futures or sell bond/buy futures) results in an arbitrage profit.
- 105.48 - 129.53 - 99.50 - 130.48
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