Question
INVOICE PRICE ON FUTURES CONTRACT The conversion factor for a particular Treasury security that is acceptable for delivery in a Treasury bond futures contract is
INVOICE PRICE ON FUTURES CONTRACT
The conversion factor for a particular Treasury security that is acceptable for delivery in a Treasury bond futures contract is 0.9345. The futures contractsettles at 108.5. The accrued interest on the Treasury security is 0.5 per $100 par amount.
(a) What is the contract size of the futures contract?
(b) What is the invoice price if the seller delivers this security at the settlement date?
show formulas.
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Bond Markets Analysis And Strategies
Authors: Frank J. Fabozzi, Francesco A. Fabozzi
10th Edition
026204627X, 978-0253337535
