i need the solution of Question 9,
it is similar to this solution but with different numbers
Problem 6.11. It is July 30, 2015. The cheapest-to-deliver bond in a September 2015 Treasury bond futures contract is a 13\% coupon bond, and delivery is expected to be made on September 30, 2015. Coupon payments on the bond are made on February 4 and August 4 each year. The term structure is flat, and the rate of interest with semiannual compounding is 12% per annum. The conversion factor for the bond is 1.5. The current quoted bond price is \$110. Calculate the quoted futures price for the contract. There are 176 days between February 4 and July 30 and 181 days between February 4 and August 4. The cash price of the bond is, therefore: 110+181176]6.5=116.32 The rate of interest with continuous compounding is 2ln1.06=0.1165 or 11.65% per annum. A coupon of 6.5 will be received in 5 days or 0.1370 years) time. The present value of the coupon is 5e0.13700.165=6.490 The futures contract lasts for 62 days 0r 0.1699 years). The cash futures price if the contract were written on the 13% bond would be (116.326.490)e0.16000.1165=112.03 At delivery there are 57 days of accrued interest. The quoted futures price if the contract were written on the 13% bond would therefore be 112.036.518457=110.01 Taking the conversion factor into account the quoted futures price should be: 1.5110.01=73.34 Q9) It is July 30,2015 . The cheapest-to-deliver bond in a September 2015 Treasury bond futures contract is a 14\% coupon bond, and delivery is expected to be made on September 30, 2015. Coupon payments on the bond are made on February 4 and August 4 each year. The term structure is flat, and the rate of interest with semiannual compounding is 13% per annum. The conversion factor for the bond is 1.5. The current quoted bond price is $110. Calculate the quoted futures price for the contract. Problem 6.11. It is July 30, 2015. The cheapest-to-deliver bond in a September 2015 Treasury bond futures contract is a 13\% coupon bond, and delivery is expected to be made on September 30, 2015. Coupon payments on the bond are made on February 4 and August 4 each year. The term structure is flat, and the rate of interest with semiannual compounding is 12% per annum. The conversion factor for the bond is 1.5. The current quoted bond price is \$110. Calculate the quoted futures price for the contract. There are 176 days between February 4 and July 30 and 181 days between February 4 and August 4. The cash price of the bond is, therefore: 110+181176]6.5=116.32 The rate of interest with continuous compounding is 2ln1.06=0.1165 or 11.65% per annum. A coupon of 6.5 will be received in 5 days or 0.1370 years) time. The present value of the coupon is 5e0.13700.165=6.490 The futures contract lasts for 62 days 0r 0.1699 years). The cash futures price if the contract were written on the 13% bond would be (116.326.490)e0.16000.1165=112.03 At delivery there are 57 days of accrued interest. The quoted futures price if the contract were written on the 13% bond would therefore be 112.036.518457=110.01 Taking the conversion factor into account the quoted futures price should be: 1.5110.01=73.34 Q9) It is July 30,2015 . The cheapest-to-deliver bond in a September 2015 Treasury bond futures contract is a 14\% coupon bond, and delivery is expected to be made on September 30, 2015. Coupon payments on the bond are made on February 4 and August 4 each year. The term structure is flat, and the rate of interest with semiannual compounding is 13% per annum. The conversion factor for the bond is 1.5. The current quoted bond price is $110. Calculate the quoted futures price for the contract
