Calculate the value of a six-month futures contract on a Treasury bond. You have the following information:
Question:
Calculate the value of a six-month futures contract on a Treasury bond. You have the following information:
• Six-month interest rate: 10% per year, or 4.9% for six months.
• Spot price of bond: 95.
• The bond pays an 8% coupon, 4% every six months.
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