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?

Expert Solution

SEE THE IMAGE. ANY DOUBTS, FEEL FREE TO ASK. THUMBS UP PLEASE

jeff jeffy answered 2 years ago

3 what are the conditions (bond features) for deliverable bonds in a Treasury bond futures contract?

Assume that the Treasury bond futures price is 108-09. Which of the following four bonds is...

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 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...

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

what is the par value of treasury bond futures?

(Bonds) What is the price of a bond (to the nearest cent) with 24 years to...

(Bonds) What is the price of a bond (to the nearest cent) with 24 years to maturity, 6.6% coupon rate, semiannual payments, par of $1000, and the yield to maturity of 4.01%?

In the bond market, we find the following Treasury bonds and their prices. Bond price $980...

In the bond market, we find the following Treasury bonds and their prices. Bond price $980 $98 $96 Maturity 2 years 1 year 2 years Face value $1,000 $100 $100 Coupon rate 10% 0% 0% a) Compute 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...

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 conversion factor for the bond is 0.9904. The current quoted bond price is $125. Calculate...

1. Suppose you buy a call option on a $100,000 Treasury bond futures contract with an...

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...

An investor is looking at two bonds. The first is a Treasury bond that has an...

An investor is looking at two bonds. The first is a Treasury bond that has an annual coupon rate of 5%, matures in 10 years and with a $1,000 par value. The second is zero-coupon bond with a 3% yield to maturity that matures in 10 years. The market rate of interest is currently at 3%. a) Compute the current price of the coupon-bearing Treasury bond? (15 pts) b) Interest rates are forecast to rise by 50 basis points (0.5%)...

Question