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5. Assume that today is October 15. It is known that a certain Treasury bond is the cheapest to deliver bond on the Treasury futures
5. Assume that today is October 15". It is known that a certain Treasury bond is the cheapest to deliver bond on the Treasury futures contract. The cheapest to deliver bond has a 5% coupon and the last coupon payment was on June 3". Today's quoted price for the bond is $92. The first day that delivery can take place is December 20". Assume that the term structure of interest rates is constant and the rate of interest (based on continuous compounding) is equal to 6%. If the conversion factor for the cheapest to deliver bond is 0.8, what is the Treasury futures price
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