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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 4.9% for six months.

Spot price of bond: 92.50.

The bond pays an 8% coupon, 4.0% every six months.

Contract value $__________

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