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Suppose that the bond that is cheapest to deliver in a futures contract on Treasury bond is a bond with 12% annual coupon bond expiring
Suppose that the bond that is cheapest to deliver in a futures contract on Treasury bond is a bond with 12% annual coupon bond expiring on March 02, 2042. Suppose that the bond is going to be delivered on January 20, 2021. Find the quoted price of the Treasury bond futures today (November 2, 2020) when the settlement price of the futures contract is 119-21, conversion factor of the bond is 1.42, and the quoted price of the bond is 124-04.
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