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The price of $100 par-value T-bond maturing in 15 years and paying a 7% coupon is 130. The bonds future contract is settling in one
The price of $100 par-value T-bond maturing in 15 years and paying a 7% coupon is 130. The bonds future contract is settling in one month and is priced at 135. The one-month CD rate is 1%. What is a theory theoretical futures price?
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Financial Management Principles and Applications
Authors: Sheridan Titman, Arthur Keown, John Martin
12th edition
133423824, 978-0133423822
