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The cheapest-to-deliver bond in a Treasury bond futures contract is an 8% coupon bond, and delivery is expected in 296 days. Coupon payments on the

The cheapest-to-deliver bond in a Treasury bond futures contract is an 8% coupon bond, and delivery is expected in 296 days. Coupon payments on the bond will be made in 175 days and 357 days from now. The last coupon date was 9 days ago. The rate of interest with continuous compounding is 5% per annum for all maturities (i.e. term structure is flat). The conversion factor for the bond is 1.2191. The current quoted bond price is $137. Calculate the quoted futures price for the contract (i.e. settlement price of futures contract).

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