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Suppose that the CTD bond for a Treasury bond futures contract pays 8.5% semiannual coupons. This CTD bond has a conversion factor of 1.25 and

Suppose that the CTD bond for a Treasury bond futures contract pays 8.5% semiannual coupons. This CTD bond has a conversion factor of 1.25 and a quoted bond price of 1000. Assume that there are 180 days between coupons and the last coupon was paid 45 days ago. Also assume that Treasury bond futures contract is to be delivered 360 days from today, and the risk-free rate of interest is 4%. Calculate the theoretical price (QFP) for this T-bond futures contract.

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