It is July 30, 2002. The cheapest-to-deliver bond in a September 2002 Treasury bond futures contract is
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It is July 30, 2002. The cheapest-to-deliver bond in a September 2002 Treasury bond futures contract is a 13% coupon bond, and delivery is expected to be made on September 30, 2002.
Coupon payments on the bond are made on February 4 and August 4 each year. The term structure is flat, and the rate of interest with semiannual compounding is 12% per annum. The conversion factor for the bond is
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