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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: 10% per year, or 4.90% for six months.
  • Spot price of bond: 90.00.
  • The bond pays an 8% coupon, 4.00% every six months.

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