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 the quoted futures price for the contract (i.e. settlement
price of futures contract).

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Rahul Sunny answered 2 years ago

True or false It is important to identify the cheapest bond to deliver because it is...

True or false It is important to identify the cheapest bond to deliver because it is the one the futures contract is priced off of. The conversion factor is the price of a bond with a face value of $1, coupon and maturity equal to that of the deliverable bond, and yield of 6 percent.

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

Which of the following bonds would be cheapest to deliver given a T-note futures price of...

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A 30-yr Treasury bond with a coupon yield of 10% and a 5-yr Treasury bond with...

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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...

What are conversion factors? How do they impact on which bond is cheapest to deliver? Under...

What are conversion factors? How do they impact on which bond is cheapest to deliver? Under what conditions would there be no cheapest to deliver?

what is the par value of treasury bond futures?

All Treasury yields are at 1%. I long a 30-yr treasury bond, coupon rate = 5%....

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Suppose there is a Treasury bond with exactly 15 years left to maturity, a 5% coupon,...

Suppose there is a Treasury bond with exactly 15 years left to maturity, a 5% coupon, par of 100, and a 2.6% yield-to-maturity? (Recall that Treasury notes pay semi-annual coupons.) What is the modified duration of this bond? A 3.41 B 7.99 C 11.17 D 14.23

Nathan purchased a 5-year Treasury bond with a coupon rate of j2 = 3.50% p.a. and...

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