.A Eurodollar futures quote for the period between 4.5 and 5.25 years in the future is 97.3. The standard deviation of the change in the short-term interest rate in one year is 1.4%. Estimate the forward rate in an FRA 12The futures price for the June 2015 CBOT bond futures contract is 117-25. Calculate the conversion factor for a bond maturing on January 1, 2025, paying a coupon of a. b. Cakculate the conversion factor for a bond maturing on October 1, 2030, paying a coupon of c. Suppose that the quoted prices of the bonds in (a) and (b) are 157.00 and 141.00 d. Calculate the cash price of the cheapest bond to deliver 9%. 7.5%. respectively. Which bond is cheapest to deliver? Bonus: 10 Points A fund manager has a portfolio worth $100 million with a beta of 85. The manager is concerned about the performance of the market over the next 2 month and plans to use 3-month futures contracts on the S&P 500 to hedge the risk. The current levd of the index is 1300, one contract is on 250 times the index. the risk-free rate is 55 per annum, and the dividend yield on the index is 2% per annum. The current 3. month futures price is 1540 What position should the fund manager take to hedge all exposure to the market over the next2 months? Cakculate the effect of your strategy on the fund manager's retums if the index in 2 months is 1150. 1295. 1375, and 1450. Assume that the 1-month futures price is .35% higher than the index level at this time. a. b