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Problem 26-9 Futures prices Calculate the value of a six-month futures contract on a Treasury bond. You have the following information: (Do not round intermediate
Problem 26-9 Futures prices
Calculate the value of a six-month futures contract on a Treasury bond. You have the following information: (Do not round intermediate calculations. Round your answer to 3 decimal places.)
- Six-month interest rate: 12% per year, or 5.80% for six months.
- Spot price of bond: 93.25.
- The bond pays a 10% coupon, 5.00% every six months.
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