Question
The most recent futures settlement price is $94 per $100 face value. The following three bonds are available for delivery under this futures contract: Bond
The most recent futures settlement price is $94 per $100 face value. The following three bonds are available for delivery under this futures contract:
Bond 1: Quoted price 100, conversion factor 1.05
Bond 2: Quoted price 143, conversion factor 1.5
Bond 3: Quoted price 115, conversion factor 1.2
Which of these bonds is the cheapest-to-deliver bond?
| a. | Bond 1 | |
| b. | Bond 2 | |
| c. | Bond 3 |
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Money Banking and Financial Markets
Authors: Stephen Cecchetti, Kermit Schoenholtz
4th edition
007802174X, 978-0078021749
