Question
Calculate the value of a six-month futures contract on a Treasury bond. You have the following information: (Do not round intermediate calculations. Round your answer
Calculate the value of a six-month futures contract on a Treasury bond. You have the following information: (Do not round intermediate calculations. Round your answer to 3 decimal places.)
- Six-month interest rate: 9% per year, or 4.40% for six months.
- Spot price of bond: 94.25.
- The bond pays a 7% coupon, 3.50% every six months.
Contract value?
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Financial Performance
Authors: Marc Bertoneche, Rory Knight
1st Edition
0750640111, 978-0750640114
