answer two questions

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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 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? 2. The current price of gold is $1642 per troy ounce. Assume that you initiate a long position in 10 COMEX gold futures contracts at this price on September 6". This initial margin is 5% of the initial price of the futures, and the maintenance margin is 3% of the initial price. Assume the evolution of gold futures prices over the next four days and that you meet any margin calls. The gold futures contract size is 100 ounces. For each day, please compute your end of day margin balance. Date Daily Settlement Price per Ounce September 6 1642 September 7 1620 September 8 1605 September 9 1618 September 10 1590