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Assume that it is March 10, 2017. The cheapest-to-deliver bond in a December 2017 Treasury bond futures contract is a 6% coupon bond, and delivery

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Assume that it is March 10, 2017. The cheapest-to-deliver bond in a December 2017 Treasury bond futures contract is a 6% coupon bond, and delivery is expected to be made on December 31, 2017. Coupon payments on the bond are made on March 1 and September 1 each year. The rate of interest with continuous compounding is 4% per annum for all maturities. The conversion factor for the bond is 1.2191. The current quoted bond price is $132. Calculate the quoted futures price for the contract. Assume that it is March 10, 2017. The cheapest-to-deliver bond in a December 2017 Treasury bond futures contract is a 6% coupon bond, and delivery is expected to be made on December 31, 2017. Coupon payments on the bond are made on March 1 and September 1 each year. The rate of interest with continuous compounding is 4% per annum for all maturities. The conversion factor for the bond is 1.2191. The current quoted bond price is $132. Calculate the quoted futures price for the contract

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