The futures price for the June 2011 CBOT bond futures contract is 118-23. (a) Calculate the conversion

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The futures price for the June 2011 CBOT bond futures contract is 118-23.

(a) Calculate the conversion factor for a bond maturing on January 1, 2027, paying a coupon of 10%.

(b) Calculate the conversion factor for a bond maturing on October 1, 2032, paying a coupon of 7%.

(c) Suppose that the quoted prices of the bonds in

(a) and

(b) are 169.00 and 136.00, respectively. Which bond is cheaper to deliver?

(d) Assuming that the cheapest-to-deliver bond is actually delivered on June 25, 2011, what is the cash price received for the bond?

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Options Futures And Other Derivatives

ISBN: 9780273759072

8th Global Edition

Authors: John Hull

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Question Posted: Oct 21, 2024 08:00 AM

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The futures price for the June 2011 CBOT bond futures contract is 118-23. (a) Calculate the conversion

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Options Futures And Other Derivatives

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