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On June 252014 the futures price for the June 2014 bond futures contract is 11823 aCalculate the conversion factor for a bond maturing on January 12030paying a coupon of 10 b Calculate

On June 25, 2014, the futures price for the June 2014 bond futures contract is 118-23.

a) Calculate the conversion factor for a bond maturing on January 1, 2030, paying a coupon of 10%.

b) Calculate the conversion factor for a bond maturing on October 1, 2035, paying coupon of 7%.

c) Suppose that the quoted prices of the bonds in (a) and (b) are 169.00 and 136.00, respectively. Which bond is cheaper to deliver?

d) Assuming that the cheapest to deliver bond is actually delivered on June 25, 2014, what is the cash price received for the bond?

 

Apr 02 2020 Read more Less More

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