A fifteen-year 8% notional bond future is currently trading at 99.95. An eligible (cheapest-to-deliver) security has a
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A fifteen-year 8% notional bond future is currently trading at 99.95. An eligible (cheapest-to-deliver) security has a conversion factor of 0.9176.
Please calculate the principal amount of the futures contract.
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Related Book For
Global Derivatives A Strategic Risk Management Perspective
ISBN: 9781526411679
1st Edition
Authors: Torben Juul Andersen
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