Suppose the delivered bond in the Treasury Bond futures contract has a remaining maturity of 20 years

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Suppose the delivered bond in the Treasury Bond futures contract has a remaining maturity of 20 years and a 7% coupon. Assume the last coupon was just paid. What is its conversion factor?

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Derivatives Principles And Practice

ISBN: 9780078034732

2nd Edition

Authors: Rangarajan Sundaram

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Question Posted: Jan 04, 2024 06:44 AM

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Suppose the delivered bond in the Treasury Bond futures contract has a remaining maturity of 20 years

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Derivatives Principles And Practice

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