Question
The current quoted price of a 13% coupon bond is $110. It pays coupon semi-annually. The next coupon will be paid in 6-days (total
The current quoted price of a 13% coupon bond is $110. It pays coupon semi-annually. The next coupon will be paid in 6-days (total number of days in this semi-annual period is 181) and the futures contract will last for 62-days. The term structure rate of interest is flat at 12% and the conversion factor for the bond is 1.5. Assume there is 184-days in half year for the futures. Compute the quoted futures price of the contract. (A) $110.01 (B) $73.34 (C) $112.03 (D) $109.83
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Fundamentals of Futures and Options Markets
Authors: John C. Hull
8th edition
978-1292155036, 1292155035, 132993341, 978-0132993340
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