9. Futures prices (S27-4) Calculate the value of a six-month futures contract on a Treasury bond. You

Question:

9. Futures prices (S27-4) 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.

Fantastic news! We've Found the answer you've been seeking!

Step by Step Answer:

Related Book For  book-img-for-question

Principles Of Corporate Finance

ISBN: 9781264080946

14th Edition

Authors: Richard Brealey, Stewart Myers, Franklin Allen, Alex Edmans

Question Posted: