5.35. It is June 25, 2001. The futures price for the June 2001 CBOT bond futures contract...

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5.35. It is June 25, 2001. The futures price for the June 2001 CBOT bond futures contract is 118-23.

a. Calculate the conversion factor for a bond maturing on January 1, 2017, paying a coupon of 10%.

b. Calculate the conversion factor for a bond maturing on October 1, 2022, 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, what is the cash price received for the bond?

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Fundamentals Of Futures And Options Markets

ISBN: 9780130176028

4th Edition

Authors: John C. Hull

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Question Posted: Jul 27, 2024 02:04 AM

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5.35. It is June 25, 2001. The futures price for the June 2001 CBOT bond futures contract...

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Fundamentals Of Futures And Options Markets

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