Suppose that the conversion factor for a particular Treasury bond that is acceptable for delivery in a
Question:
Suppose that the conversion factor for a particular Treasury bond that is acceptable for delivery in a Treasury bond futures contract is 0.85 and that the futures price settles at 105. Assume also that the accrued interest for this Treasury bond is 4.
What is the invoice price if the seller delivers this Treasury bond at the settlement date?
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The invoice price of a Treasury bond futures contract is the price the buy...View the full answer
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Related Book For 
Bond Markets Analysis And Strategies
ISBN: 9780253337535
10th Edition
Authors: Frank J. Fabozzi, Francesco A. Fabozzi
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