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it is March 10, 2019. The cheapest-to-deliver bond in a December 2019 Treasury bond futures contract is an 9% coupon bond, and the delivery is
it is March 10, 2019. The cheapest-to-deliver bond in a December 2019 Treasury bond
futures contract is an 9% coupon bond, and the delivery is expected to be mad on
December 31, 2019. Coupon payments on the bond are made on March 1 and September
1 each year. The rate of interest with continuous compounding is 6% per annum for
all maturities. The convention factor for the bond is 1.3172. The current quoted bond
price is $97. Calculate the quoted futures price for the contract.
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