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It is July 30, 2020. The cheapest to deliver bond in September 2020 US Treasury bond futures is a 13% coupon bond, and delivery is
It is July 30, 2020. The cheapest to deliver bond in September 2020 US Treasury bond futures is a 13% coupon bond, and delivery is expected to be made on September 30, 2020. Coupon payments on the bond are made on February 4 and August 4 each year. The term structure is flat and the continuously compounded rate of interest is 12% per annum. The conversion factor is 1.5 and the current quoted bond price is 110. The number of days between relevant dates are:
From | To | No. of Days |
4/2/2020 | 30/7/2020 | 177 |
30/7/2020 | 4/8/2020 | 55 |
4/8/2020 | 30/9/2020 | 57 |
30/9/2020 | 4/2/2021 | 127 |
Calculate the quoted futures price for the contract.
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