A Treasury Bond with $1,000 par value and 6 years to maturity pays a 6% semi-annual coupon.
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A Treasury Bond with $1,000 par value and 6 years to maturity pays a 6% semi-annual coupon. The YTM is 8%, APR semi-annual compounding. A coupon has just been paid. A futures contract expiring in 15 months calls for delivery of this bond only. The risk-free rate is 5% EAR. Calculate the futures price.
Related Book For
Fundamentals Of Corporate Finance
ISBN: 9780135811603
5th Edition
Authors: Jonathan Berk, Peter DeMarzo, Jarrad Harford
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