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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: Six-month interest rate: 11%
Problem 26-9 Futures prices
Calculate the value of a six-month futures contract on a Treasury bond. You have the following information:
- Six-month interest rate: 11% per year, or 5.40% for six months.
- Spot price of bond: 91.00.
- The bond pays a 9% coupon, 4.50% every six months.
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Business And Personal Finance
Authors: McGraw-Hill
1st Edition
0078945801, 9780078945809
