Suppose that, in a Treasury bond futures contract, it is known that the cheapest- to-deliver bond will be a 12% coupon bond with a Suppose also that it is known that delivery will take place in 270 days. Coupons are payable semiannually on the bond. As illustrated in Figure 6.1, the last coupon date was 60 days ago, the next coupon date is in 122 days, and the coupon date thereafter is in 305 days. The term structure is flat, and the rate of interest (with conversion factor of 1.6000 practice, for the purposes of estimating the cheapest-to-deliver hond analysts usua ly Suppose that, in a Treasury bond futures contract, it is known that the cheapest- to-deliver bond will be a 12% coupon bond with a Suppose also that it is known that delivery will take place in 270 days. Coupons are payable semiannually on the bond. As illustrated in Figure 6.1, the last coupon date was 60 days ago, the next coupon date is in 122 days, and the coupon date thereafter is in 305 days. The term structure is flat, and the rate of interest (with conversion factor of 1.6000 practice, for the purposes of estimating the cheapest-to-deliver hond analysts usua ly