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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: 11% per year
  • Spot price of bond: 94.75.
  • Bond coupon: 9%.

Contract value =?

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