Question
Consider a Treasury bond futures contract. We have identified the cheapest-to-deliver bond in the Treasury bond futures contract. The current quoted bond price is $95
Consider a Treasury bond futures contract. We have identified the cheapest-to-deliver bond in the Treasury bond futures contract. The current quoted bond price is $95 and the accrued interest on the bond is 1.7. The present value of the coupon payments on the bond between now and the delivery of the futures contract is $4.5. The accrued interest on the bond at the time of futures delivery will be 2.1. The conversion factor for the bond is 0.89. An investment of $1 at risk-free rate will grow to $1.05 at the time of futures delivery. Calculate the quoted futures price for the contract.
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