A treasury bond futures price is 103-24. The price of three
deliverable bonds are 110-06, 138-12...
A treasury bond futures price is 103-24. The price of three
deliverable bonds are 110-06, 138-12 and 155-28. Their conversation
factors are 1.0067, 1.2598, and 1.4367, respectively which bond is
the cheapest to deliver?
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Assume that the Treasury bond futures price is 108-09. Which
of the following four bonds is cheapest to deliver (CTD)?
Bond
Price
Conversion Factor
1
102-30
0.9499
2
102-14
0.9444
3
101-11
0.9285
4
99-22
0.9119
A Treasury bond with 8 years to maturity is currently quoted at
110:12. The bond has a coupon rate of 8.3 percent. What is the
yield value of a 32nd for this bond?
Suppose that Treasury futures price is 94-08. Which of the
following bonds that can be delivered is cheapest to deliver bond?
Bond 1: Price 99-16 and Conversion factor 1.02; Bond 2: Price
110-16 and Conversion factor 1.15; Bond 3: Price 120-16 and
Conversion factor 1.23
Any bond can be cheapeast to deliver bond
Bond 1
Bond 2
Bond 3
(Bonds) What is the price of a bond (to the nearest cent) with
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In the bond market, we find the following Treasury bonds and
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the YTMs for the above three bonds. b) Using the two zero coupon
bonds, compute the forward rate that is applied for the period from
the end of Year 1 to the end of Year 2. c) Suppose that we need the
above...
The cheapest-to-deliver bond in a Treasury bond futures contract
is a 5% coupon bond, and delivery is
expected in 250 days. Coupon payments on the bond will be made in
175 days and 357 days from now.
The last coupon date was 9 days ago. The rate of interest with
continuous compounding is 2.5% per
annum for all maturities (i.e. term structure is flat). The
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Currently a three-year zero-coupon treasury bond is traded at a
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(a) What is the yield to maturity of the three-year zero-coupon
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(b) At what price should the three-year coupon bond be selling
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(c) A bond analyst comments that without calculation, he can
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1. Suppose you buy a call option on a $100,000 Treasury bond
futures contract with an exercise price of $99,000 for a premium of
$1000. If on expiration the price of the futures contract is
$98,500, what is your profit or loss on the contract?
2. Suppose you buy a put option on a $100,000 Treasury bond
futures contract with an exercise price of $100,000 for a premium
of $1500. If on expiration the futures contract has a price of...