Question
4. Suppose that the Treasury bond futures price is 101-12. Which of the following four bonds is cheapest to deliver and what is the cash
4. Suppose that the Treasury bond futures price is 101-12. Which of the following four bonds is cheapest to deliver and what is the cash price you would receive for it if you deliver it on September 14th 2013?
| Bond | Price & Coupon | Conversion Factor |
| 1 (matures Jan 1st 2029) | 125-05 & 10.8% | 1.2131 |
| 2 (matures March 12th 2031) | 142-15 & 12.5% | 1.3792 |
| 3 (matures July 20th 2032 | 115-31 & 9.65% | 1.1149 |
| 4 (matures October 23rd 2035) | 144-02 & 12.3% | 1.4026 |
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Finance And Modernization
Authors: Gerald D. Feldman, Peter Hertner
1st Edition
0754662713, 978-0754662716
