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On June 2 5 , 2 0 2 1 , the futures price for the June 2 0 2 1 bond futures contract is 1
On June the futures price for the June bond futures contract is
a Calculate the conversion factor for a bond maturing on January paying a coupon of
b Calculate the conversion factor for a bond maturing on October paying a coupon of
c Suppose that the quoted prices of the bonds in a and b are and respectively. Which bond is cheaper to deliver?
d Assuming that the cheapest to deliver bond is actually delivered on June what is the cash price received for the bond?
Try to solve this question using excel
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