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Suppose it is known that the cheapest-to-deliver bond will be a 10% coupon bond with a conversion factor of 1.4623. Suppose also that the delivery

Suppose it is known that the cheapest-to-deliver bond will be a 10% coupon bond with a conversion factor of 1.4623. Suppose also that the delivery will take place in 265 days (=0.7260 years). Coupons are payable semiannually on the bond. The last coupon was paid 40 days ago, the next coupon is due in 142 days (=0.3890 years), and the coupon date thereafter is in 325 days. The term structure is flat, and the rate of interest (with continuous compounding) is 8% per annum. Assume that the current quoted bond price is $120. Find the equilibrium cash futures price today using the parity condition.

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