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It is March 6, 2020. The cheapest-to-deliver bond in a September 2020 Treasury bond futures contract is a 5% coupon bond, and delivery is expected

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It is March 6, 2020. The cheapest-to-deliver bond in a September 2020 Treasury bond futures contract is a 5% coupon bond, and delivery is expected to be made on September 30, 2020. Coupon payments on the bond are made on January 1 and July 1 each year. The rate of interest with continuous compounding is 3% per annum for all maturities. The conversion factor for the bond is 0.8851. The current quoted bond price is $113.82. Calculate the quoted futures price for the contract

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