Question
On March 16, the March Treasury bond futures settlement price was 101 21/32. Assume that the 12 1/2 percent bond maturing in about 22 years
On March 16, the March Treasury bond futures settlement price was 101 21/32. Assume that the 12 1/2 percent bond maturing in about 22 years is the cheapest bond to deliver. The CF is 1.4639. Assume that the price at 3:00 P.M. was 150 15/32. Determine the price at 5:00 P.M. that would be necessary to justify delivery.
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Using Excel For Principles Of Econometrics
Authors: R Carter Hill, Genevieve Briand
4th Edition
1118032101, 9781118032107
